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Discussion Groups | Matlab DSP | constraints for portopt function

Technical discussion about Matlab and issues related to Digital Signal Processing.

  

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constraints for portopt function - elsanky - Mar 10 9:58:02 2008



the function behaves ok when additional contraints arent provided to
it but throws an error when I provide constraints. The error is thrown
even when I am sure the constraints could be satisfied.

[PortRisk, PortReturn, PortWts] = portopt (ExpReturn,
ExpCovariance,20,[],conset) 
gives the following error
----------------------------------------------------------
??? Error using ==> portopt
No portfolios satisfy all the input constraints

Error in ==> test_portopt at 41
[PortRisk, PortReturn, PortWts] = portopt (ExpReturn,
ExpCovariance,20,[],conset)
----------------------------------------------------------

[PortRisk, PortReturn, PortWts] = portopt (ExpReturn,
ExpCovariance,20,[],[]) this function call without constraints behaves
fine.

Has anyone had similar problems with portopt?  Could you tell me where
I may be going wrong.


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