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Risk and Asset Allocation

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Risk and Asset Allocation

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16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

getsymbada(At,Ablkjc,DAt,psdblkstart)
%                               SYMBADA = getsymbada(At,Ajc,DAt,psdblkstart)
% GETSYMBADA
%   Ajc points to start of PSD-nonzeros per column
%   DAt.q has the nz-structure of ddotA.
%
% ******************** INTERNAL FUNCTION OF SEDUMI ********************
%
% See also sedumi, partitA, getada1, getada2.


function SYMBADA = getsymbada(At,Ablkjc,DAt,psdblkstart)
%
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
%
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
%
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   CRL, McMaster University, Canada.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
%
% This program is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
%

Alpq = spones(extractA(At,Ablkjc,0,3,1,psdblkstart(1)));
Ablks = findblks(At,Ablkjc,3,[],psdblkstart);
if spars(Ablks)==1 | spars(Alpq)==1 | (~isempty(DAt.q) & spars(DAt.q)==1)
    SYMBADA=sparse(ones(size(At,2),size(At,2)));
else
    SYMBADA = Alpq' * Alpq + Ablks'*Ablks + DAt.q'*DAt.q;
end

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