tolerance for fmincon function?

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Sameer 2014-5-31

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/131885-tolerance-for-fmincon-function

关闭： Matt J 2014-5-31

Hello:

http://www.mathworks.com/matlabcentral/answers/131835-constraints-not-meeting-the-parameters

this is where my main question is. Basically, I am having trouble finding an optimal solution (variance) that satisfies all the linear equality constraints.

you can see the full code in the link.

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.

When using these constraints, I was unable to find a solution that satisfies all three linear equality constraints. As such, I was stuck and did not know what to do.

However, my teacher was able to write this program and get an optimal portfolio that was able to meet these constraints.

As such, is there a way to revise the tolerance in the options section to get a legitimate portfolio subject to the constraints?

Thank you.