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Portoflio Optimization

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Matt Lyle
Matt Lyle 2012-3-19
关闭： MATLAB Answer Bot 2021-8-20
Hello,
I am currently trying to use the portfolio optimization tools in Matlab to deal with an investing problem and I am having a bit of an issue.
What I would like to do is begin with 20 (or more) assets that can be invested bought or sold, but I only want to hold (long or short) say 8 of the assets instead of the entire 20. That is, I would like matlab to find the optimal portfolio where an investor can hold only 8 out of a possible 20 assets.
Any possible advice would be greatly appreciated.
Thank you,

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回答（1 个）

Oleg Komarov
Oleg Komarov 2012-3-19
I am afraid you can't easily implement it with the existing tools.
There are some papers out there (googling portfolio optimization cardinality constraints): http://www.ra.cs.uni-tuebingen.de/publikationen/2003/streichert03evolutionary.pdf
MATLAB related links that might help you:

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