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Pure open source Java libraries for portfolio selection (= limited, non-linear optimization)?

Does anyone know or have experience working with a clean Java library to select portfolios or do some of these types of constrained quadratic programming ?

It seems that there are a lot of tools, as discussed elsewhere - but what I would like to use a pure implementation of Java. Since I want to call the library from other open source software with a BSD-ish license, I would prefer LGPL over the GPL.

Any help is appreciated. If you do not know such libraries, which are the simplest algorithm that you would suggest to implement? He must cope with the inequality constraint (all x_i > = 0) and the equality constraint (sum of all x_i = 1).

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2 answers

Try ojAlgo . This is a FOSS with a business license.

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I think WebCab Portfolio can help you. It will handle Markowitz models, effective boundaries, etc. Is that what you are talking about above?

Unfortunately, licensing can cause you problems (but this runtime is without royalties, which may be useful)

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Source: https://habr.com/ru/post/1286588/

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