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Subject: Re: Norm Constrained Portfolio Optimization
Date: Wed, 7 Jan 2009 17:50:18 +0000 (UTC)
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Thanks for the responses. I guess I had never noticed the non-linear constraint abilities of fmincon, so thank you for that response, and I am going to try that. Also, I should have included the constraint that sum(w)=1. This forces the sum(w) away from zero where there is an infinity solution. On a related side, I am trying to consider a formulation of the problem in a way that I can force the weights to sum to zero, but the weights cannot all be zero (I suppose add another constraint)...Thanks again...