how to use the objective function minimize te in quadprog
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I would like to make sure if this is correct
I have a set of initial weights [10x1] - w0 covariance matrix [10x10] - myCov
f = -w0'*myCov
[solution, fval, exitflag,output] = quadProg(mycovNew.data, f, A_le,b_le,Aeq,beq,zeros(n,1),[],w0, options)
Is this the correct syntax if I want to minimize TE with respect to initial set of weights.
Thanks!
2 Comments
Matt J
on 22 Jan 2013
What's "TE"? Also, in one place you write myCov and later mycovNew.data. Are they the same thing?
Answers (1)
Matt J
on 22 Jan 2013
Edited: Matt J
on 22 Jan 2013
It's the correct syntax if the objective you're minimizing is
w.'*myCov*w/2 - w0'*myCov*w
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