Asset allocation and style analysis in SAS

Amalik — Sun, 13 Nov 2016 23:47:33 GMT

Hi guys,

I am trying to do a style analysis as in Sharpe (1992) paper (Asset allocation: Management Style and Performance Measurement).

There are three different models, unconstrained, constrained and quadratic programmed (Page 7). I am stuck with the quadratic programming model, where the coefficient is to be non-negative. Since we can only specify an equation in the restrict statement, I am wondering if anyone know how to run the regression in SAS?

Thanks

Re: Asset allocation and style analysis in SAS

Ksharp — Mon, 14 Nov 2016 04:09:16 GMT

Ha. You need write some SAS/IML or SAS/OR code,

if you need apply multiple constraint conditions (linear or non-linear).

Post your question at IML forum or Mathematical Optimization, Discrete-Event Simulation, and OR

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Asset allocation and style analysis in SAS

Re: Asset allocation and style analysis in SAS