MATLAB and Simulink resources for Arduino, LEGO, and Raspberry Pi
Learn moreOpportunities for recent engineering grads.
Apply TodayNew to MATLAB?
MATLAB Central > MATLAB Newsreader > Norm Constrained Portfolio Optimization 

Subject: Norm Constrained Portfolio Optimization From: Jeremiah Green Date: 7 Jan, 2009 02:28:01 Message: 1 of 7 
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 
Subject: Norm Constrained Portfolio Optimization From: Phil Goddard Date: 7 Jan, 2009 03:44:02 Message: 2 of 7 
"Jeremiah Green" <jeremiah.green@gmail.com> wrote in message <gk13vh$7i8$1@fred.mathworks.com>... 
Subject: Norm Constrained Portfolio Optimization From: Roger Stafford Date: 7 Jan, 2009 03:56:02 Message: 3 of 7 
"Jeremiah Green" <jeremiah.green@gmail.com> wrote in message <gk13vh$7i8$1@fred.mathworks.com>... 
Subject: Norm Constrained Portfolio Optimization From: Bruno Luong Date: 7 Jan, 2009 07:30:10 Message: 4 of 7 
"Roger Stafford" <ellieandrogerxyzzy@mindspring.com.invalid> wrote in message <gk194i$alf$1@fred.mathworks.com>... 
Subject: Norm Constrained Portfolio Optimization From: Jeremiah Green Date: 7 Jan, 2009 17:50:18 Message: 5 of 7 
Thanks for the responses. I guess I had never noticed the nonlinear 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... 
Subject: Norm Constrained Portfolio Optimization From: Jeremiah Green Date: 7 Jan, 2009 17:55:02 Message: 6 of 7 
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... 
Subject: Norm Constrained Portfolio Optimization From: Matt Date: 7 Jan, 2009 18:54:02 Message: 7 of 7 
"Jeremiah Green" <jeremiah.green@gmail.com> wrote in message <gk2q9m$6pu$1@fred.mathworks.com>... 
A tag is like a keyword or category label associated with each thread. Tags make it easier for you to find threads of interest.
Anyone can tag a thread. Tags are public and visible to everyone.