Hello,
I have moved your post to this board
--> [ Mathematical Optimization, Discrete-Event Simulation, and OR Operations Research topics: SAS/OR, SAS Optimization, and SAS Simulation Studio ]
as it is more about optimization than about Forecasting and Econometrics (the board where you originally posted).
Start here :
SAS/OR User's Guide: Mathematical Programming The Quadratic Programming Solver Example 11.2 Portfolio Optimization https://go.documentation.sas.com/doc/en/orcdc/14.3/ormpug/ormpug_qpsolver_examples02.htm?homeOnFail
Cheers,
Koen
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