5

Does anyone know or has experience with a pure Java library to select portfolios or do some similar kinds of quadratic programming with constraints?

There seems to be a lot of tools, as already discussed elsewhere - but what I would like to use is a pure Java implementation. Since I want to call the library from within another open-source software with a BSD-ish license I would prefer LGPL over GPL.

Any help is appreciated. If you don't know such libraries, which is the most simple algorithm you would suggest to implement? It has to cope with an inequality constraint (all x_i >= 0) and an equality constraint (sum of all x_i = 1).

Community
  • 1
  • 1
Roland Ewald
  • 4,630
  • 3
  • 35
  • 49

2 Answers2

4

Try ojAlgo. This is FOSS with a business friendly licence.

Suminda Sirinath S. Dharmasena
  • 1,831
  • 3
  • 26
  • 35
2

I think WebCab Portfolio may help you. It will handle Markowitz models, efficient frontiers etc. Is that the sort of thing you're addressing above ?

Unfortunately the licensing may cause you problems (but it's runtime-royalty-free, which may be of use)

Brian Agnew
  • 268,207
  • 37
  • 334
  • 440
  • Yes, I basically want to calculate an efficient frontier. Thank you for the suggestion, I did not know about this tool. Anyhow, the $677 license fee for my team is quite some money... and the tool has many features I will never need (e.g. their scenario approach or support for the CAPM)... :-/ – Roland Ewald Jun 22 '09 at 20:36
  • @RolandEwald This is no more a comercial product i believe. – Vibeeshan Mahadeva Nov 09 '18 at 05:35
  • 1
    @VibeeshanRC yes you are right, it says so on the product page (https://www.componentsource.com/product/webcab-portfolio-j2ee/licensing) – Roland Ewald Nov 09 '18 at 15:08