[Ipopt] Quadric programming - Markowitz portfolio model

[Sebastian Nowozin]

Hello Adam,


On Sat, Jul 9, 2011 at 11:11 AM, Adam Tulejko <adaqus at gmail.com> wrote:

> I want to solve quadric programming problem which is optimization of
> Markowitz portfolio. I wonder whether Ipopt is the best (or one of the best)
> tool for quadric programming. What is the quality of solutions in comparison
> to Generalized Reduced Gradient algorithm, which is used in Microsoft Excel?
> Are there significant differences in speed?

IpOpt can solve QP problems, but a dedicated QP solver is the better
choice for large-scale problems.  I have used different solvers in the
past, but in my experience Mosek (www.mosek.com) is one of the best
commercial QP solvers in terms of speed, robustness, and
documentation.

Sebastian