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What is "Unable to compute indifference curve tangency portfolio."?

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I was playing around with the function portalloc to compute the tangency portfolio, the following error message occurred:
??? Error using ==> portalloc at 199
Unable to compute indifference curve tangency portfolio.
I have googled for this issue, but no answered so far.
Can anyone help to elaborate the cause of this error? Thanks in advance!


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Accepted Answer

Aurelien Queffurust
Aurelien Queffurust on 6 Sep 2011
There is a explanation about this error by Bob taylor : matlabcentral
it may help you to understand the error message.


Michael Teo
Michael Teo on 6 Sep 2011
Thanks. I have tried what was mentioned in that thread, by playing around with the RiskAversion parameter of the function portalloc.
But the error still surfaced.
May i ask what the error message means in layman terms?
Walter Roberson
Walter Roberson on 6 Sep 2011
I am not familiar with this subject area, so my interpretation might not be on the same planet as the truth, but what Bob's explanation seemed to mean to me was:
The program has calculated that the balance of assets needed to meet your targets cannot include any Risk-Free assets at all. . You should either remove the Risk-Free assets and calculate without them, or else you should keep increasing the RiskAversion parameter until importance of including some Risk-Free assets is sufficient for the calculation to balance.
Michael Teo
Michael Teo on 7 Sep 2011
Thank you for the descriptive info, it helps!
By increasing the risk aversion parameter to a "big" value, it "resolved" the issue. Its was also mentioned in the thread referred by Aurelien.

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