11-13-2016 06:47 PM
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?
11-13-2016 11:09 PM
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