Failure in initial objective function evaluation. FMINCON cannot continue HELP
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Hi, I have to solve the problem in the image but my fmincon doesn't work. Someone could help me? My code attached. Thanks in advance!
n_asset = size(Assets,2);
Aeq = ones(1,n_asset);
beq = 1;
x0 = mean(Returns);
lb = zeros(1,n_asset);
ub = ones(1,n_asset);
fun = @(x) -(x')*(sqrt(variance))/sqrt((x')*Covariance*(x))
w = -fmincon(fun,x0,[],[],Aeq,beq,lb,ub)
2 个评论
Sergey Kasyanov
2021-7-6
What are sizes of variance and covariance?
Steve Grikschat
2021-7-6
fmincon calls the objective with x0 before starting and that's where this error occurs.
Try evaluating fun with x0 before calling fmincon. That will give you the specific error.
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2021-7-6
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