Asset allocation and style analysis in SAS

[Amalik]

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

[Ksharp]

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