rolling reg and quadratic programming in SAS

Amalik · Posted 11-14-2016 06:31 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?Plus I want to perform a rolling regression.

mkeintz · Posted 11-15-2016 08:07 AM

Look at the documenttion for PROC OPTMODEL,which has a set of "solvers". the one for quadratic programming is called QP.

regards,

Mark

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rolling reg and quadratic programming in SAS

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