Portfolio optimization tools

[Sankar]

I am exploring some tools for highly-scalable distributed portfolio optimization.
Just curious if anyone used TAO ?(Toolkit for Advanced Optimization
http://www-unix.mcs.anl.gov/tao/), which is built on PETSc(Portable Extensible Toolkit for Scientific computation http://www-unix.mcs.anl.gov/petsc/petsc-as/) and MPI(http://www-unix.mcs.anl.gov/mpi/).

[mam3xs]

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 (http://www.optirisk-systems.com/)
Hope that's useful for you and your project.
Cheers
Mc

[Sankar]

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