Why do I get a warning and NaNs in my output when using the PORTOPT function from the Financial Toolbox 3.6 (R2009a)?

I am using the PORTOPT command from Financial Toolbox 3.6 (R2009a) and am getting a warning at the command prompt:

[PortRisk, PortReturn, PortWts] = portopt(eqrtns, covar, numport, [],ConSet);

 Warning: Candidate solution is infeasible due to a bad pivot. 

 > In lcprog>lcprealitycheck at 299

   In lcprog at 189

   In qplcprog at 244

   In portopt at 342

   In cust_rep at 3

 Warning: Candidate solution is infeasible due to a bad pivot. 

 > In lcprog>lcprealitycheck at 299

   In lcprog at 189

   In qplcprog at 244

   In portopt at 342

   In cust_rep at 3

 Warning: Candidate solution is infeasible due to a bad pivot. 

 ....

Also the evaluated PortRisk parameter contains NaNs:

>> PortRisk

 PortRisk =

     0.0425

     0.0486

     0.0617

        NaN

        NaN

        NaN

     0.1515

     0.1865

     0.2287

     0.2911

Answer 1

[MathWorks Support Team]

This issue generally happens when the problem is degenerate (overconstrained in some instances). In such situations the solver will not be able find the optmimum point and the output can be NaNs.

To workaround this, re-evaluate your constraint matrix and see that the optimization problem is well posed.