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Subject: Re: Norm Constrained Portfolio Optimization
Date: Wed, 7 Jan 2009 18:54:02 +0000 (UTC)
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"Jeremiah Green" <jeremiah.green@gmail.com> wrote in message <gk2q9m$6pu$1@fred.mathworks.com>...
> I also forgot to mention the norm question. The answer is, I am not sure which type of norm I want to impose. There is an article that suggests different norms, but I haven't figured out the most logical solution...

Is the matrix C positive definite? If so you can impose the C-induced norm constraint,

x'*C*w=1

in which case your objective function reduces simply to the linear function -Xret*w.

Pretty easy to solve, I would guess, possibly even analytically.