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Thread Subject:
setting portfolio constraints with portcons

Subject: setting portfolio constraints with portcons

From: Benp P

Date: 19 Jan, 2009 04:12:01

Message: 1 of 3

Hi,

I need to set some constraints on a portfolio to be used in conjunction with the portopt function. I am setting my constraints to conset as:

 ConSet = portcons('PortValue', 0, length(PortUBounds), 'AssetLims', PortLBounds, PortUBounds);

I am setting the total of the weights to be zerot though I need the added condition that the sum of the absolute values of the PortWeights vector to be 1. As this is not in the form A*PortWts' <= b, I was wondering if there is some way to set this constraint with portcons.

Thanks,
Ben.

Subject: setting portfolio constraints with portcons

From: Phil Goddard

Date: 19 Jan, 2009 18:20:17

Message: 2 of 3

Neither portcons nor quadprog (portcon's underlying optimization routine) allow for non-linear constraints.
You'll most likely have to try using fmincon directly, which does allow for non-linear constraints.

Phil.

Subject: setting portfolio constraints with portcons

From: Benp P

Date: 19 Jan, 2009 22:20:17

Message: 3 of 3

Thanks or the reply, I expected I would have to use fmincon.

Ben.

"Phil Goddard" <philgoddardNOSPAM@telus.net> wrote in message <gl2g91$ndq$1@fred.mathworks.com>...
> Neither portcons nor quadprog (portcon's underlying optimization routine) allow for non-linear constraints.
> You'll most likely have to try using fmincon directly, which does allow for non-linear constraints.
>
> Phil.

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