PortfolioCVaR object: how insert a non linear condition

Is it possible to insert a non linear condition in the PortfolioCVaR object? like in the fmincon function? Thanks!

[Brendan Hamm]

No. If you wish to have non-linear constraints you will need to use the Optimization toolbox functions like fmincon.

[Cihan]

Thanks, but if I understood well I can set the type of solver with setSolver function, and pass the options via optimoptions and I don’t know if is it possible to pass a non linear function condition throw optimoptions.

[Brendan Hamm]

Unfortunately this is still not possible. While you can change the solver and the solver options the non-linear constraint function is an input to the fmincon function itself and cannot be specified with the options. The options are to allow you more flexibility in converging to a proper solution (i.e. increasing the number of iterations and changing tolerances). To include a non-linear constraint you will need to use the Optimization toolbox functions.