- Use the appropriate solver for your objective. For a quadratic objective function with linear constraints, the Optimization Decision Table says to use quadprog.
- Even if you decide to use fmincon as a solver, you cannot write an objective function using an anonymous function with a loop. Instead, write the loop in a function file, and call the function file with fmincon. For an example, see an introductory example on minimization.
- Where do you define C? Or is that your name for your decision variable w_rp?
How do I put a series of sum into a function?
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Dennis Göbel
le 19 Avr 2019
Réponse apportée : Alan Weiss
le 22 Avr 2019
Hi! I am trying to solve the optimization problem for a risk parity portfolio. To be precise:
w is a nx1 vector of portfolio weigths and C th nxn covariance matrix.
The variable port_size is a scalar that returns the number of assets invested in.
I tried to solve it with fmincon, but the first problem that is appearing is that apparently I cannot do the fun_rp = @(w_rp) with the for loop as MATLAB gives me the error: illegal use of reserved keyword "for".
w_mv0 = [0.25; 0.25; 0.25; 0.25];
Aeq = ones(1, port_size);
beq = 1;
lb = zeros(1, port_size);
ub = ones(1, port_size);
fun_rp = @(w_rp) for i = 1:port_size
for j = 1: port_size
(w(1,i)*(C*w(1,i)')-w(1,j)*(C*w(1,j)'))^2;
end
end
w_rp = fmincon(fun_rp,w_rp0,[],[],Aeq,beq,lb,ub)
Does anybody know where my mistake is? I´d appriciate every help!
Best regards
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Réponse acceptée
Alan Weiss
le 22 Avr 2019
I did not try to run your code, but I have several comments.
Good luck,
Alan Weiss
MATLAB mathematical toolbox documentation
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