Optimization Problem about Optimal Portfolio with Aversion Index
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Hello everyone, I'm trying to due with following optimization problem:
I have done some of the coding but cannot finish the double summation part.
Does anyone have any ideas that could help??? Thanks in advance.
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Alan Weiss
2019 年 2 月 4 日
I don't see your rho and sigma variables, but you could try
sumexpr = optimexpr;
for i = 1:n
for j = 1:n
sumexpr = sumexpr + w(i)*w(j)*rho(i,j)*sigma(i)*sigma(j);
end
end
It would undoubtedly be more efficient to write this double summation as a standard MATLAB matrix multiplication, something like
sumexpr = w'*M*w;
where M has an appripriate definition, but the double sum should work, too.
Alan Weiss
MATLAB mathematical toolbox documentation
2 件のコメント
Alan Weiss
2019 年 2 月 4 日
I suggest that you use the debugger to find out what sizes the variables have just before the times operation executes.
Alan Weiss
MATLAB mathematical toolbox documentation
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