Failure in initial user-supplied objective function evaluation. FMINCON cannot continue.

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Rukhsaar Mohamudbuccus
评论： Torsten 2016-1-21
Kindly advise on the error I am getting. I am trying to run the fmincon code for my portfolio optimisation but unable to do so. Please tell me how to get the distribution of my portfolio as well. Thanks
% column vector for initial weight w3 = fmincon(@(w)compute_pvar (w, C_is *252) , w0 , [] , [] , Aeq , beq , [] , [] , [] , options); pvar = compute_pvar (w3 , C_is *252) ; fprintf ('The minimum portfolio variance is %.4f.\n', sqrt ( pvar )) ;

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