Function that solves for the efficient portfolio and minimisation problem

2 views (last 30 days)
I have a task to create a function that solves for the efficient portfolio. I've crated a function but I'm getting an error in line 3 ( N = numel...) and I'm not sure about line 11 ( [ x, fval ] = fmincon(@effportobj , x0 , [], [], Aeq, Beq, [], [], [], [], Sigma); )
Does anyone know what I'm doing wrong?
this is the task:
Create a function that solves for the efficient portfolio, given a set of stocks, their expected value, their variance-covariance matrix, and a target expected value of the investment. The function should use either the MATLAB minimisation procedure fmincon or quadprog.
Inputs:
procedure a string containing the MATLAB procedure used to perform the minimization ('quadprog' or 'fmincon') Sigma Variance-covariance matrix (reminder: this is a positive semi-definite matrix!) mu vector of expected values for each stock mu_p_0 expected return initial_guess for fmincon, you need to give an initial guess, can be left as [] if using quadprog optimisation_options can be added, but otherwise set to default by using [] as the value for this input
Outputs:
x optimal shares for each stock fval value of the optimisation expected_return as a check, needs to be equal to mu_p_0
When using fmincon: the objective function for the optimisation will be a local function called effportobj (already in the solution template). This function takes as inputs: the optimal shares x, and the variance-covariance matrix Sigma. In the main function, when calling this objective function in the optimisation procedure fmincon, use the function handle (starting with @).
My code:
function [ fval, x] = effportfoliol( mu, initial_guess, Sigma, mu_p_0)
N = numel(mu);
L = ones(N,1);
lb = 0;
ub = 1;
Aeq = [mu';L'];
Beq = [mu_p_0;1];
x0 = initial_guess;
[ x, fval ] = fmincon(@effportobj , x0 , [], [], Aeq, Beq, [], [], [], [], Sigma);
expected_return = x'*mu;
if expected_return == mu_p_0
disp("expected return = mu_p_0");
else
disp([]);
end
end
function [ f ] = effportobj( x, Sigma )
f = (x')*Sigma*(x);
end

Answers (0)

Categories

Find more on Quantum Mechanics in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by