<html><head><style type="text/css"><!-- DIV {margin:0px;} --></style></head><body><div style="font-family:times new roman, new york, times, serif;font-size:12pt"><div>Dear All:<br><br>1I have just successfully completed a massive project where I build a portfolio optimizer which interfaces with SQL server, accepts user intervention and uses IPopt for the actual optimization. Currently I uses a universe of 500 securities but there is no limit. The idea here is to maximize a utility function which is quadratic subject to linear constraints. In a few tests (more to be conducted) the problem is solved in as few as 15 iterations even when the starting point is very imprecise. At present I deal only with a long portfolio, but plan to optimize long-short portfolios too. The project took me about two months start to finish, and I am not even a programmer! (When I did my Ph.D, we worked on VAX 11s and I learnt c++ on my own in the
late eighties :)).<br><br>I am extremely pleased with the design and functioning of the Ipopt code.<br><br>Many thanks ro all of you for answering my usually silly questions. I want to thank Stefan Vigerske in particular. His insights and help put me on the right track.<br><br>Once the user interface is ready, I will try to upload screenshots. Is there any place I can load this to or can I send it to one of you?<br><br>Thanks again<br><br>Krish<br></div></div><br>
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