How do i get a scalar value so i can get rid of this error using fmincon function?

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LM 2017-10-20

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/362352-how-do-i-get-a-scalar-value-so-i-can-get-rid-of-this-error-using-fmincon-function

评论： Walter Roberson 2017-10-20

采纳的回答： Walter Roberson

Screenshot 2017-10-20 14.57.29.png

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trying to find optimal weights for portfolio and want to use fmincon to maximise sharp ratio

Maximize Sharpe Ratio If Put a negative sign - on the compute_sharpe objective function: maximization problem into a minimization one:

1 %%Maximize Sharpe ratio
2 Aeq = ones(1,N);
3 beq = 1;
4
5 w0 = ones(N,1)*(1/N);
6 % NOTE: use - to convert max optimization to a min ...
optimization problem
7 w4 = fmincon(@(w)-compute_sharpe(w, avg_ret, ...
cov_mat), w0, [], [], Aeq, beq, [], [], [], ...
options);
8 [w4,fval4] = fmincon(@(w)-compute_sharpe(w, avg_ret, ...
cov_mat), w0, [], [], Aeq, beq, [], [], [], ...
options);
9 % fval4 = -sr1 as the fun = -compute_sharp
10 sr = - fval4;
11 disp(['The maximised portfolio Sharpe ratio is ', ...
num2str(sr)]);

i keep getting this error in the screen shot how do i make it a scalar value so i can get rid of it? thanks

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Cam Salzberger 2017-10-20

As I said, we can't really tell you why your objective function is giving a non-scalar result without seeing your objective function. Can you edit your question and add the definition for "compute_sharpe"?

LM 2017-10-20

编辑：LM 2017-10-20

This line here is giving me the error

w4 = fmincon(@(w)-compute_sharpe(w,avg_daily_ret,cov_mat),w0, [], [],Aeq ,beq)

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Answer 1

Walter Roberson 2017-10-20

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/362352-how-do-i-get-a-scalar-value-so-i-can-get-rid-of-this-error-using-fmincon-function#answer_286905

According to the comments in that code, w is a column vector, which would be N x 1 . w' would then be 1 x N, and so if the w' * cov_mat * w is not going to fail on inconsistent size basis, pvar is going to have to end up a scalar.

You have pret = w * avg_daily_ret; with both defined as column vectors. That would have to fail. Perhaps avg_daily_ret is a row vector or scalar? If the * is to work, then the N x 1 * something is going to have to end up with an N x whatever result, not a scalar.

You then have p_sharpe = (pret - 3) / sqrt(pvar); . We have determined that pret cannot be a scalar (unless w was a scalar, I guess). Therefore p_sharpe cannot be a scalar.

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LM 2017-10-20

What if i try useing avg_daily_ret’ as input, transposed. As it is a row vector now, but if it's a col vector would the calculation go ahead?

Walter Roberson 2017-10-20

在 MATLAB Online 中打开

With w on the left side of w * avg_daily_ret then you are going to get N x 1 size for pret, and then you have a problem. Your pret calculation needs to calculate a scalar. Possibly

pret = w' * avg_daily_ret

with avg_daily_ret still a column vector.

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