Constraints not meeting the parameters?

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Sameer 2014-5-30

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编辑： Sameer 2014-6-1

Hello:

This is what my code looks like for the the linear equality constraints. However, run I run the code it does not meet the constraints.

in swtOther_Aeq1, the first constraint is to make stocks 1,3,7 comprise 22% of the portfolio.

the second constraint is to make the portfolio return equal to a certain return in the grid (ERGRid).

the third constraint is to have the total weights sum up to one for the portfolio.

However, none of these requirements are being met.

I am confused as to why.

Help would be appreciated. thanks.

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Sameer 2014-5-30

Exitflag says 0.04044

output says -2

Sameer 2014-5-30

在 MATLAB Online 中打开

Also this is what TolCon says:

TolCon =

         iterations: 29
          funcCount: 337
    constrviolation: 9.3468
           stepsize: 7.6372e-11
          algorithm: 'interior-point'
      firstorderopt: 0.059526
       cgiterations: 58
            message: 'No feasible solution found.

fmi...'

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回答（1 个）

Matt J 2014-5-30

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编辑：Matt J 2014-5-30

Exitflag=-2 means that no feasible point was found, as output.message also tells you. It means fmincon thinks there is no point satisfying your constraints.