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Portfolio optimization - quad prog function

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civs
civs 2014-7-17
编辑： Matt J 2014-7-18
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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Matt J
Matt J 2014-7-18
编辑：Matt J 2014-7-18
There's no apparent reason that I should not. My guess is that you did not actually input targetreturn=0.07, but rather some non-scalar value.

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