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Portfolio optimization tools

Have you tried AMPL and AMPL Studio, both combined with super solvers, like CPLEX; FortMP, FortSP, etc.
If you want to know more solvers, go to NEOS, server for Optimisation.
http://www-neos.mcs.anl.gov/
If you want to download AMPL Studio and related solvers, go to :
www.optirisk-systems.com
Hope that's useful for you and your project.
Cheers
Mc
 
Thanks for mentioning AMPL.

I did play with it for a different (optimal-broker-selection) problem.
For the problem at hand (non-linear objective function, with binary solution i.e which stock should be traded with which broker) BONMIN was the only solver available. I could not use it from NEOS site because of firewall issue. But when I tried to build BONMIN in cygwin from the sources, I was getting linker error at the very last step of the build process. Do you know if I can download pre-built (statically linked with all libraries) bonmin.exe from somewhere.?

I will also explore the optirisk.com site.

Thanks
 
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