Failure in initial objective function evaluation. FMINCON cannot continue HELP

23 vues (au cours des 30 derniers jours)
Leonardo Coccia
Leonardo Coccia le 6 Juil 2021
Commenté : Steve Grikschat le 6 Juil 2021
Hi, I have to solve the problem in the image but my fmincon doesn't work. Someone could help me? My code attached. Thanks in advance!
n_asset = size(Assets,2);
Aeq = ones(1,n_asset);
beq = 1;
x0 = mean(Returns);
lb = zeros(1,n_asset);
ub = ones(1,n_asset);
fun = @(x) -(x')*(sqrt(variance))/sqrt((x')*Covariance*(x))
w = -fmincon(fun,x0,[],[],Aeq,beq,lb,ub)
  2 commentaires
Sergey Kasyanov
Sergey Kasyanov le 6 Juil 2021
What are sizes of variance and covariance?
Steve Grikschat
Steve Grikschat le 6 Juil 2021
fmincon calls the objective with x0 before starting and that's where this error occurs.
Try evaluating fun with x0 before calling fmincon. That will give you the specific error.

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