topic rolling reg and quadratic programming in SAS in Mathematical Optimization, Discrete-Event Simulation, and OR https://communities.sas.com/t5/Mathematical-Optimization/rolling-reg-and-quadratic-programming-in-SAS/m-p/311562#M1510 <P>I am trying to do a <SPAN class="lia-search-match-lithium">style</SPAN> <SPAN class="lia-search-match-lithium">analysis</SPAN> as in <SPAN class="lia-search-match-lithium">Sharpe</SPAN> (1992) paper (Asset allocation: Management <SPAN class="lia-search-match-lithium">Style</SPAN> and Performance Measurement).</P><P>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?Plus I want to perform a rolling regression.</P> Mon, 14 Nov 2016 23:31:01 GMT Amalik 2016-11-14T23:31:01Z rolling reg and quadratic programming in SAS https://communities.sas.com/t5/Mathematical-Optimization/rolling-reg-and-quadratic-programming-in-SAS/m-p/311562#M1510 <P>I am trying to do a <SPAN class="lia-search-match-lithium">style</SPAN> <SPAN class="lia-search-match-lithium">analysis</SPAN> as in <SPAN class="lia-search-match-lithium">Sharpe</SPAN> (1992) paper (Asset allocation: Management <SPAN class="lia-search-match-lithium">Style</SPAN> and Performance Measurement).</P><P>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?Plus I want to perform a rolling regression.</P> Mon, 14 Nov 2016 23:31:01 GMT https://communities.sas.com/t5/Mathematical-Optimization/rolling-reg-and-quadratic-programming-in-SAS/m-p/311562#M1510 Amalik 2016-11-14T23:31:01Z Re: rolling reg and quadratic programming in SAS https://communities.sas.com/t5/Mathematical-Optimization/rolling-reg-and-quadratic-programming-in-SAS/m-p/311665#M1511 <P>Look at the documenttion for PROC OPTMODEL,which has a set of "solvers".&nbsp; the one for quadratic programming is called QP.</P> <P>&nbsp;</P> <P>regards,</P> <P>Mark</P> <P>&nbsp;</P> <P>&nbsp;</P> Tue, 15 Nov 2016 13:07:15 GMT https://communities.sas.com/t5/Mathematical-Optimization/rolling-reg-and-quadratic-programming-in-SAS/m-p/311665#M1511 mkeintz 2016-11-15T13:07:15Z