Thread Subject:
How to put a constraint on weights of assets in a portfolio when using portopt function in MATLAB

Subject: How to put a constraint on weights of assets in a portfolio when using portopt function in MATLAB

From: Kanchana

Date: 8 Dec, 2012 16:05:08

Message: 1 of 1

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I am trying to optimize a portfolio with 10 assets and those can be grouped into five. Say asset one and two is in group 1. Now in my optimization, I need the weights of group assets to be equal. For example, Asset 1 and Asset 2 is in group 1. So I need weights of asset 1 and asset 2 to be equal in the possible optimized portfolio. How do I include this constraint into portopt function?

Many thanks in advance.

Cheers, Ryan

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matlab Kanchana 8 Dec, 2012 11:09:10
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