Portfolio optimization - quad prog function
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Hi,
I have a function mean_var_portopt1 (here attached). I am trying to call the function by writing:
targetreturn=0.07
% Determine the efficient portfolio weights given the target return.
[Weff]= mean_var_portopt1(targetreturn, Rets);
Rets is a 3740x5 matrix of asset returns. As a result, I should get a 5-element column vector with asset weights but instead I get a 5x5 matrix, why is that?
Thanks!
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