Optimization Problem: Max Sharpe Ratio

Question

Jiadi Cao 2019-2-25

回答： Alan Weiss 2019-2-26

How do I resolve this issue:

Here's my code:

prob2 = optimproblem('ObjectiveSense','max');

weights2 = optimvar('weights2',10)

%SR = (weights2*ER-rfmean)/(weights2'*cov1*weights2)^(1/2);

prob2.Objective = (weights2*ER-rfmean)/sqrt(weights2'*cov1*weights2);

prob2.Constraints.cons1 = sum(weights2)== 1;

showproblem(prob2)

sol2 = solve(prob2);

Matlab Returns:

Undefined function 'sqrt' for input arguments of type 'optim.problemdef.OptimizationExpression'.

Error in project_2_part1 (line 99)

prob2.Objective = (weights2*ER-rfmean)/sqrt(weights2'*cov1*weights2);

Answer 1

Alan Weiss 2019-2-26

Currently, as the documentation clearly states, the problem-based approach does not apply to general nonlinear problems. You must formulate your problem using the solver-based approach.

Alan Weiss

MATLAB mathematical toolbox documentation