Solver Problems
 

Hello all...

I just finished a Markowitz Portfolio Optimization Model with 80 different
securities and I'm trying to run solver to find the optimal solution. Solver
either tells me it is too large a problem for Solver to handle or it
terminates the program. Does anyone know a way to reduce the workload on
solver so that it will be able to run the problem?

Thanks

"Walker" wrote...
I just finished a Markowitz Portfolio Optimization Model with 80
different securities and I'm trying to run solver to find the optimal
solution. Solver either tells me it is too large a problem for Solver to
handle or it terminates the program. Does anyone know a way to reduce the
workload on solver so that it will be able to run the problem?

With 80 securities, don't you have more than 70 degrees of freedom? If so,
the version of Solver that comes with Excel can't handle this. You'll need
to buy the higher-end version of Solver, and it costs $$$.

I'm not familiar to the 70 degrees of freedom you mention but if it means
that I can reduce the number of securities to 70 and redo it then I will.
Thanks!

"Harlan Grove" wrote:

"Walker" wrote...
I just finished a Markowitz Portfolio Optimization Model with 80
different securities and I'm trying to run solver to find the optimal
solution. Solver either tells me it is too large a problem for Solver to
handle or it terminates the program. Does anyone know a way to reduce the
workload on solver so that it will be able to run the problem?

With 80 securities, don't you have more than 70 degrees of freedom? If so,
the version of Solver that comes with Excel can't handle this. You'll need
to buy the higher-end version of Solver, and it costs $$$.