Hey everybody, I am new to Matlab. I have recently used quadprog for the standard mean-variance model to optimise a portfolio. I want to try several models and am currently trying to model the linear program -> mean / mean absolute deviation. Mathematically speaking :
[URL=http://www.pic-upload.de/view-20298258/Screen-Shot-2013-08-05-at-01.05.47.png.html][IMG]http://www10.pic-upload.de/thumb/05.08.13/3hz1okoiiv24.png[/IMG][/URL]
in case that didn't work :
S = 872 observations I have for 9 stocks. delta is the target return.
% This script will calculate and plot the efficient frontier for a % mean - mean absolute deviation model in the Konno context.
PeriodMAD = mad(Sample);
PeriodMAD = PeriodMAD';
assignin('base','PeriodMAD',PeriodMAD);
nAssets = numel(PeriodMAD);
targetreturn = 0.000001;
nonnegativityMAD = zeros(nAssets, 1);
f = PeriodMAD;
Aeq = [ PeriodDeviations
-PeriodDeviations
-PeriodMAD
-PeriodReturns ];
Beq = [ PeriodMAD
-PeriodMAD
nonnegativityMAD
-targetreturn];
lb = zeros(nAssets,1);
ub = ones(nAssets, 1);
options = optimset('Algorithm','interior-point');
options = optimset(options,'Display','iter','TolFun',1e-10);
for i=1:100000;
x = linprog ( f,[],[],Aeq,Beq,lb,ub,[], options );
Output(1,i) = x' * PeriodReturns;
Output(2,i) = x' * PeriodMAD;
Output(3,i) = (Output(1,i)/Output(2,i));
Output(5,i) = x(1,1);
Output(6,i) = x(2,1);
Output(7,i) = x(3,1);
Output(8,i) = x(4,1);
Output(9,i) = x(5,1);
Output(10,i) = x(6,1);
Output(11,i) = x(7,1);
Output(12,i) = x(8,1);
Output(13,i) = x(9,1);
targetreturn = targetreturn + 0.000001;
if(exitflag == 1)
continue
else
break
end
end
maxKonnoRatio = max(Output(3,:));
[row col] = find(maxKonnoRatio == Output(3,:));
OptimalAll = [ Output(1,col)
Output(2,col)
Output(3,col)
0
Output(5,col)
Output(6,col)
Output(7,col)
Output(8,col)
Output(9,col) ]
plot(Output(2,i),Output(1,i))
I am stuck. I have modified so much stuff already and I keep getting error messages. currently this is the most recent one :
EDU>> MAD Error using linprog (line 231) The number of rows in Aeq must be the same as the number of elements of beq.
Error in MAD (line 37) x = linprog ( f,[],[],Aeq,Beq,lb,ub,[], options );
EDU>> MAD Error: File: MAD.m Line: 108 Column: 32 Unbalanced or unexpected parenthesis or bracket.
EDU>>
if you could please help me. Am I at least close to a proper solution ? Btw. : I will annualise those daily data observations - as soon as I can solve the basic problem.
I would be very grateful for some advice and/or help. Thank you so much!
Daniel
