Sequential min-variance risk parity algorithm

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Gino Gabriele Sgroi
Gino Gabriele Sgroi on 15 May 2019
Hello everyone, i have to implement the following algorithm in Matlab:
Algorithm.PNG
the function to optimize is:
Function.PNG
How can i do this by using the "fmincon" tool?
I have to get a matrix n*m in which n is the numer of assets and m is the numer of possible rho.
Ty very much

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