How to use optimization toolbox to optimize CRRA utility function in matlab
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I need to find those coefficients from maximizing this utility function.
The rate of portfolio in utility function (Rp,t+1) is weighted average of US stock return rate(Rus,t+1) and World stock return rate(Rw,t+1). Wus,t and Ww,t represent the different weights between two markets.
Weights of two markets depend on their average(M), variance(V), covariance(COV), skewness(SK), and kurtosis(KU). It's a linear function. I've calculated Nt, M, V, COV, SK and KU. We have data for Rus and Rw. Now I want to find those coefficients by maximizing utility function. Attachments are three functions I mentioned. I just started to use matlab and this problem is kind of too complicated for me. I would really appreciate if someone can help with the code. Even some small tips would be appreciated. Thank you very much.
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