Minimizing a function in one variable in Matlab

  • #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.
 

Answers and Replies

  • #2
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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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