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Minimizing a function in one variable in Matlab

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  1. Apr 4, 2014 #1
    This problem was originally a multi objective problem but using scalarization it can be transformed to the following:

    Min: -p'*x + u*x'*V*x subject to 1*x=1

    -u is the risk aversion index that I wish to vary from .1 to 100
    -V is a (4x4) variance covariance matrix
    -p is the (4x1) expected return vector, p' is (1x4)
    -x is the (4x1) asset weight vector I wish to solve for
    -the sum of x is 1 (the only constraint)

    I've tried the fmincon function but don't know how to set it up.
     
  2. jcsd
  3. May 4, 2014 #2
    I'm sorry you are not finding help at the moment. Is there any additional information you can share with us?
     
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