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From: yoav on 21 Apr 2010 07:29
Hello,

I am trying to solve an asset allocation problem in finance, using portopt.

I have N assets, for which i have already specified a set of linear constraints in the form of A*w<=b. w is the weights vector, which i am looking for.

I can easily solve my pfoblam using
[PortRisk, PortReturn, PortWts] = portopt(ExRet,ExpCov,NumPorts, [], ConSet);

Where ConSet is [A b].

I want to add one more constraint, which is binary. I want to constraint my solution to allocate weights greater than zero only to M out of my N assets. How do i do that? currently, the solution can contain any number of assets included in my portfolio, and i want to be able to control that.

I can use fmincon and write my own mycon.m function, but i rather use matlab's portopt function... note that w are non integers, so i can't convert the problam and use bintprog function.

Thanks,

Yoav
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