The Quadratic Programming Solver

Examples: QP Solver

9.1 Linear Least Squares Problem
9.2 Portfolio Optimization
9.3 Portfolio Selection with Transactions

This section presents examples that illustrate the use of the OPTMODEL procedure to solve quadratic programming problems. Example 9.1 illustrates how to model a linear least squares problem and solve it by using PROC OPTMODEL. Example 9.2 and Example 9.3 show in detail how to model the portfolio optimization and selection problems.

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