norn-constrained portfolio optimization
in [Matlab]
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From: Eunju Lee on 17 Apr 2010 06:29 Hello, i am trying to solve norm-constrained minimum variance portfolio optimization using fmincon function, but haven't figured out how i put the norm constraint into function. my objective function is: min(w) w'*C*w s.t sum(w)=1 sum of abs(w)<=c so here is my question, how put the 'sum of abs(w)' into fmincon function line? is there anyone who knows this, pls. hlep me
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