Failure in initial objective function evaluation. FMINCON cannot continue HELP
Mostrar comentarios más antiguos
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 comentarios
Sergey Kasyanov
el 6 de Jul. de 2021
What are sizes of variance and covariance?
Steve Grikschat
el 6 de Jul. de 2021
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.
Respuestas (0)
Categorías
Más información sobre Econometrics Toolbox en Centro de ayuda y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!