optimization proble risk parity
2 ビュー (過去 30 日間)
古いコメントを表示
Tommaso Delicato
2020 年 12 月 22 日
コメント済み: Tommaso Delicato
2021 年 1 月 16 日
I state that I am not very experienced in MATLAB. I should create and minimize a function to find the weights of an asset allocation problem. The problem is as follow:
Minimize ∑(RC(Fj)/σP−1/M)^2 for j=1:M
sub ∑x=1
where RC(Fj) = (A⊤x)j⋅ (A+Σx/√x⊤Σx)j
where
- A is a loadings matrix
- A+ is Moore-Penrose inverse of A
- Σ is a covariance matrix
- x is a weights vector
I would need some codes to solve these problems. Thank you in advance.
0 件のコメント
採用された回答
Rishik Ramena
2020 年 12 月 31 日
MATLAB does have a toolbox dedicated to solving optimization problems like these. Do have a look at its documentation for the ramp up.
その他の回答 (0 件)
参考
カテゴリ
Help Center および File Exchange で Portfolio Optimization and Asset Allocation についてさらに検索
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!