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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)
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"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.