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Re: Octave financial package
From: |
Vic Norton |
Subject: |
Re: Octave financial package |
Date: |
Thu, 9 Jun 2016 11:11:09 -0400 |
> On Jun 9, 2016, at 10:32 AM, Parsiad Azimzadeh <address@hidden> wrote:
>
> A good self-contained project would be to implement the "Portfolio
> Optimization and Asset Allocation" family of classes and functions. Let me
> know if this interests you, and if not, I can think of something else.
I have implemented at least part of such a package, Parsiad.
New Markowitz: a package to aid in financial portfolio selection
ABSTRACT
We present a GNU Octave package to aid in financial portfolio
selection, with examples of its use on 2014 data. Our minnormy
function, at the core of the package, is a variation on Harry
Markowitz’s critical line algorithm.
The package works fine, but I want to write it up at
http://arxiv.org/archive/q-fin
before putting it out for public consumption. On the other hand, if any brave
soul on this list wants to be a guinea pig, I’d be happy to send them the
package,
newmarkowitz-1.0.0.tar.gz,
as it is now.
But let me add this caveat. My package is definitely NOT an implementation of
MATLAB’s stuff—--though it can do pretty much the same things.
Regards,
Vic