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using linear equality constraint within the loop
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My assignment is to optimize a portfolio given a set of stock.
I already have one linear equality constraint that makes certain stocks sum to a certain amount of weight in the portfolio.
However, I also have to put two additional constraints to the portfolio that makes the total sum of the weights equal to sum (in the vector W) which is a row vector it is written as sum(W) = 1.00
. and the portfolio return has to equal a specific number that the current iteration is using in the loop.
it is written as ERMean*W' = ERGrid(1,i); (it is inside the loop).
for the minization, I am using "fmincon" that already has linear equality constraints
but my professor said these two constraints that I explained "hardcoded within the loop". I am confused as to what he is saying.
here is how the code looks:
i=1; while i<=cols(ERGrid); ERMean*W' = ERGrid(1,i); sum(W) = 1.00; [W] = fmincon('objfun',x0,swtOther_A,swtOther_b,swtOther_Aeq,swtOther_beq,swtMinWt1,swtMaxWt1,,options); ERGrid(2:swtN+1,i) = W; i=i+1; end;
But it gives me error when running the ERMean and sum(W) lines in the loop. For the ERMean line it is saying: "The expression to the left of the equals sign is not a valid target for an assignment."
For the sum(W) line it is saying: "Subscript indices must either be real positive integers or logicals."
Can someone PLEASE help me on this issue? I have been struggling with it for a while.