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Subject: Norm Constrained Portfolio Optimization
Date: Wed, 7 Jan 2009 02:28:01 +0000 (UTC)
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For portfolio optimization, my conceptual problem is to select weights (w) to minimize the following: min -1*(XRet*w)/(w'*C*w) subject to the constraint that abs(w)<=c, where c is some constant. I have been doing other constrained versions with the fmincon function. Can anyone tell me how I might solve this problem? Thanks