Re: Constrained QP Algorithm

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Posted by Peter Aptaker on January 22, 1998 at 06:54:11:

In Reply to: Constrained QP Algorithm posted by Rex Macey on January 08, 1998 at 21:55:04:

: I would like to write (or buy) a program in EXCEL VBA to solve a portfolio problem (quadratic optimization with linear constraints). N will be less than 20. Where could I find an algorithm? Or code.

: BTW Excel has built-in matrix inversion and multiplication functions.

: I have an undergraduate degree in math (about 15 years ago), so I'm rusty.

Have you tried Frontline (who make the standard Excel Solver) ?
Edwin Straver

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