Portfolio optimisation in NUOPT

["Cahill, Shane" <Shane.Cahill@ILIM.COM>]

Hi,
I am modifying a portfolio optimisation which uses the NUOPT optimiser.  I have noticed that reordering the constraints alters the number of iterations and time taken by NUOPT to solve the problem.  In some cases this time difference can be dramatic.

Has anyone else noticed this?  If so, I would appreciate suggestions as to how to best order the constraints.

Thanks,
Shane

______________________________
Shane Cahill
Quantitative Analyst
Irish Life Investment Managers
Beresford Court, Beresford Place, Dublin 1, Ireland.

Irish Life Investment Managers winner of the Investment Management KPMG Financial Services Excellence Award 2007

 

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