Path: news.mathworks.com!not-for-mail From: "Phil Goddard" <philgoddardNOSPAM@telus.net> Newsgroups: comp.soft-sys.matlab Subject: Re: Norm Constrained Portfolio Optimization Date: Wed, 7 Jan 2009 03:44:02 +0000 (UTC) Organization: Goddard Consulting Lines: 12 Message-ID: <gk18e2$sns$1@fred.mathworks.com> References: <gk13vh$7i8$1@fred.mathworks.com> Reply-To: "Phil Goddard" <philgoddardNOSPAM@telus.net> NNTP-Posting-Host: webapp-02-blr.mathworks.com Content-Type: text/plain; charset="ISO-8859-1" Content-Transfer-Encoding: 8bit X-Trace: fred.mathworks.com 1231299842 29436 172.30.248.37 (7 Jan 2009 03:44:02 GMT) X-Complaints-To: news@mathworks.com NNTP-Posting-Date: Wed, 7 Jan 2009 03:44:02 +0000 (UTC) X-Newsreader: MATLAB Central Newsreader 26433 Xref: news.mathworks.com comp.soft-sys.matlab:510145 "Jeremiah Green" <jeremiah.green@gmail.com> wrote in message <gk13vh$7i8$1@fred.mathworks.com>... > 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 You should be able to use fmincon for this too. The cost function is specified as before, typically as a function handle, and the non-linear constraint is specified, also as a function handle, as the 9th input argument. There's an example of what the non-linear constraint function needs to look like in the doc for fmincon: function [c,ceq] = mycon(x) c = ... % Compute nonlinear inequalities at x. ceq = ... % Compute nonlinear equalities at x. Phil.