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From: Björn on 12 Feb 2010 09:15
Hi,

I have a Linear Constraint Equations problem.The problem appears in portopt() function.
The constrain is:

Assume that I have 6 different mutual funds that I can allocate some money, lets called them F1, F2, ..., F6, with the following constrains:

30% <= F3 + F4 + F5 <= 50%
10% <= F1 + F6 <= 30%
30% <= F2 <= 50%

I put it in a A*Wts <= b manner and get then:

-F3 -F4 -F5 < -30
+F3 +F4 +F5 < 50
-F1 -F6 < -10
+F1 +F6 < 30
-F2 < -30
F2 < 50

which gives me the following matrix A:
A = [0 0 -1 -1 -1 0;
0 0 1 1 1 0;
-1 0 0 0 0 -1;
1 0 0 0 0 1;
0 -1 0 0 0 0;
0 1 0 0 0 0];

and b,

b = [ -0.30;
0.50;
-0.10;
0.30;
-0.30;
0.50];

Conset = [A b];
portopt(Returns , Covariances , 130, [], Conset);

I get the following error message:

"Warning: Unbounded bound constraints. Cannot use lcprog. Switching to quadprog.
> In portopt at 234
In file1 at 94
??? Error using ==> portopt at 260
No portfolios satisfy all the input constraints

Error in ==> file1 at 94
portopt(Returns , Covariances , 130, [], Conset);"

I can not really figure out what the problem is... can someone guide me?

Regards,
Björn
From: Björn on 12 Feb 2010 14:08
"Björn " <bjornluc(a)hotmail.com> wrote in message <hl3nps$phh$1(a)fred.mathworks.com>...
> Hi,
>
> I have a Linear Constraint Equations problem.The problem appears in portopt() function.
> The constrain is:
>
> Assume that I have 6 different mutual funds that I can allocate some money, lets called them F1, F2, ..., F6, with the following constrains:
>
> 30% <= F3 + F4 + F5 <= 50%
> 10% <= F1 + F6 <= 30%
> 30% <= F2 <= 50%
>
> I put it in a A*Wts <= b manner and get then:
>
> -F3 -F4 -F5 < -30
> +F3 +F4 +F5 < 50
> -F1 -F6 < -10
> +F1 +F6 < 30
> -F2 < -30
> F2 < 50
>
> which gives me the following matrix A:
> A = [0 0 -1 -1 -1 0;
> 0 0 1 1 1 0;
> -1 0 0 0 0 -1;
> 1 0 0 0 0 1;
> 0 -1 0 0 0 0;
> 0 1 0 0 0 0];
>
> and b,
>
> b = [ -0.30;
> 0.50;
> -0.10;
> 0.30;
> -0.30;
> 0.50];
>
> Conset = [A b];
> portopt(Returns , Covariances , 130, [], Conset);
>
> I get the following error message:
>
> "Warning: Unbounded bound constraints. Cannot use lcprog. Switching to quadprog.
> > In portopt at 234
> In file1 at 94
> ??? Error using ==> portopt at 260
> No portfolios satisfy all the input constraints
>
> Error in ==> file1 at 94
> portopt(Returns , Covariances , 130, [], Conset);"
>
> I can not really figure out what the problem is... can someone guide me?
>
> Regards,
> Björn

Someone who can help me? any clue?

Thanks,
Björn
From: Björn on 12 Feb 2010 18:46
"Björn " <bjornluc(a)hotmail.com> wrote in message <hl48v4$404$1(a)fred.mathworks.com>...
> "Björn " <bjornluc(a)hotmail.com> wrote in message <hl3nps$phh$1(a)fred.mathworks.com>...
> > Hi,
> >
> > I have a Linear Constraint Equations problem.The problem appears in portopt() function.
> > The constrain is:
> >
> > Assume that I have 6 different mutual funds that I can allocate some money, lets called them F1, F2, ..., F6, with the following constrains:
> >
> > 30% <= F3 + F4 + F5 <= 50%
> > 10% <= F1 + F6 <= 30%
> > 30% <= F2 <= 50%
> >
> > I put it in a A*Wts <= b manner and get then:
> >
> > -F3 -F4 -F5 < -30
> > +F3 +F4 +F5 < 50
> > -F1 -F6 < -10
> > +F1 +F6 < 30
> > -F2 < -30
> > F2 < 50
> >
> > which gives me the following matrix A:
> > A = [0 0 -1 -1 -1 0;
> > 0 0 1 1 1 0;
> > -1 0 0 0 0 -1;
> > 1 0 0 0 0 1;
> > 0 -1 0 0 0 0;
> > 0 1 0 0 0 0];
> >
> > and b,
> >
> > b = [ -0.30;
> > 0.50;
> > -0.10;
> > 0.30;
> > -0.30;
> > 0.50];
> >
> > Conset = [A b];
> > portopt(Returns , Covariances , 130, [], Conset);
> >
> > I get the following error message:
> >
> > "Warning: Unbounded bound constraints. Cannot use lcprog. Switching to quadprog.
> > > In portopt at 234
> > In file1 at 94
> > ??? Error using ==> portopt at 260
> > No portfolios satisfy all the input constraints
> >
> > Error in ==> file1 at 94
> > portopt(Returns , Covariances , 130, [], Conset);"
> >
> > I can not really figure out what the problem is... can someone guide me?
> >
> > Regards,
> > Björn
>
> Someone who can help me? any clue?
>
> Thanks,
> Björn

No one!?
From: Björn on 15 Feb 2010 11:09
"Björn " <bjornluc(a)hotmail.com> wrote in message <hl4p7u$279$1(a)fred.mathworks.com>...
> "Björn " <bjornluc(a)hotmail.com> wrote in message <hl48v4$404$1(a)fred.mathworks.com>...
> > "Björn " <bjornluc(a)hotmail.com> wrote in message <hl3nps$phh$1(a)fred.mathworks.com>...
> > > Hi,
> > >
> > > I have a Linear Constraint Equations problem.The problem appears in portopt() function.
> > > The constrain is:
> > >
> > > Assume that I have 6 different mutual funds that I can allocate some money, lets called them F1, F2, ..., F6, with the following constrains:
> > >
> > > 30% <= F3 + F4 + F5 <= 50%
> > > 10% <= F1 + F6 <= 30%
> > > 30% <= F2 <= 50%
> > >
> > > I put it in a A*Wts <= b manner and get then:
> > >
> > > -F3 -F4 -F5 < -30
> > > +F3 +F4 +F5 < 50
> > > -F1 -F6 < -10
> > > +F1 +F6 < 30
> > > -F2 < -30
> > > F2 < 50
> > >
> > > which gives me the following matrix A:
> > > A = [0 0 -1 -1 -1 0;
> > > 0 0 1 1 1 0;
> > > -1 0 0 0 0 -1;
> > > 1 0 0 0 0 1;
> > > 0 -1 0 0 0 0;
> > > 0 1 0 0 0 0];
> > >
> > > and b,
> > >
> > > b = [ -0.30;
> > > 0.50;
> > > -0.10;
> > > 0.30;
> > > -0.30;
> > > 0.50];
> > >
> > > Conset = [A b];
> > > portopt(Returns , Covariances , 130, [], Conset);
> > >
> > > I get the following error message:
> > >
> > > "Warning: Unbounded bound constraints. Cannot use lcprog. Switching to quadprog.
> > > > In portopt at 234
> > > In file1 at 94
> > > ??? Error using ==> portopt at 260
> > > No portfolios satisfy all the input constraints
> > >
> > > Error in ==> file1 at 94
> > > portopt(Returns , Covariances , 130, [], Conset);"
> > >
> > > I can not really figure out what the problem is... can someone guide me?
> > >
> > > Regards,
> > > Björn
> >
> > Someone who can help me? any clue?
> >
> > Thanks,
> > Björn
>
> No one!?

OK, last try...
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