Rolling window using optimProbelm

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Karoline Bax
Karoline Bax 2022-5-11
回答： Nipun 2023-11-2
Hello,
I am trying to set a portfolio in an optimization problem as a rolling window. Bascially I am trying to recereate the following portfolios on this website but in a rolling window fashion:
https://de.mathworks.com/help/finance/methods-for-diversification-of-portfolios.html
diverseProb = optimproblem('ObjectiveSense','minimize');
My problem is that I cannot create many diverseProb = optimproblem(.....); in a loop. I tried it with indexing
for i=1: T-WindowSize
diverseProb(i) = optimproblem('ObjectiveSense','minimize');
end
However, it does not work - as I have many wndows I do not want to do it manually, Is there a way to " stack thee OptimizationProblem objects?
Thank you.
  1 个评论
dleal
dleal 2022-5-15
Have you tried using a cell array?
diverseProbs = cell(1,T-WindowSize);
for i=1:T-WindowSize
diverseProb{1,i} = optimproblem('ObjectiveSense','minimize');
end

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回答（1 个）

Nipun
Nipun 2023-11-2
Hi Karoline,
I understand that you are trying to pre-allocate the Optimization Problem objects for latter deployment in your code. I assume you have created a list of the required size that you wish to pre-allocate.
I suggest using a cell array for preallocation. I am attaching a reference code below that might help with allocating the optimization objects.
diverseProb = cell(T-WindowSize,1)
for i=1:T-WindowSize
diverseProb{i,1} = optimproblem('ObjectiveSense','minimize');
end
Note that I have created a column vector as MATLAB stores elements column-first in memory. This way, it can leverage fast retrieval from memory when called. Hope this helps.
Regards,
Nipun

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