ip-optimise

This is a C++ library and programmes that use ccgsl, ipo and cplex to solve portfolio selection problems with linear-programming or interior-point methods.

You can download and use the source code in accordance with a gnu general public licence. The code contains functions ip-optimise2 and lp-optimise that can be used for portfolio optimisation. You can also browse the documentation.

The program lp-optimise allows you to use linear-programming methods for portfolio selection with a range of constraints including conditional value-at-risk constraints.

The program ip-optimise2 allows you to use linear-programming methods for portfolio selection with a range of constraints including conditional value-at-risk constraints. It also allows you to specify mean and covariance shrinkage.