Re: Octave financial package

[Parsiad Azimzadeh]

Hi Vic,

> 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

Sure, send it on over! I can take a look at it to determine whether or not it can be massaged into the financial package, should you be willing. Also, could you give me a one or two line description of how it varies compared to the MATLAB implementation?

On Thu, Jun 9, 2016 at 11:11 AM Vic Norton <address@hidden> wrote:

> 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

--

Parsiad Azimzadeh [http://parsiad.ca]

PhD candidate

DC 3594 - University of Waterloo,

200 University Avenue West,
Waterloo, ON N2L 3G1