using fmincon with a turnover penalty function
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I use fmincon on the following function: vol=w'*Cov*w + (c*(w-PriorWeights)'*Cov*(w-PriorWeights));
To minimize volatility, while punishing a change in weights (w).
adding the part after the "+" causes an error: User-supplied and forward finite-difference derivatives do not match within 1e-06 relative tolerance.
I do not understand (and cannot find online solutions to) this problem.
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Torsten
2017-5-18
Do you supply the gradient of the objective function ?
Best wishes
Torsten.
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2017-5-18
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