Cardinality constraint optimization [on hold]2019 Community Moderator ElectionMatlab lsqlin constrain N number of elements in solutionHow can foreign key constraints be temporarily disabled using T-SQL?Cardinality constrained portfolio in MATLABOptimize a function in RR DEoptim - apply asset weight constraints on a portfolio optimizationPortfolio Optimisation under participation constraintsPortfolio optimisation in R - group ratio constraintsHow to add a constraint in CVaR optimization code in Matlab?SciPy portfolio optimization with industry-level constraintsCVaR Matlab OptimizationMean Variance Optimization + Python + tuning constraints
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Cardinality constraint optimization [on hold]
2019 Community Moderator ElectionMatlab lsqlin constrain N number of elements in solutionHow can foreign key constraints be temporarily disabled using T-SQL?Cardinality constrained portfolio in MATLABOptimize a function in RR DEoptim - apply asset weight constraints on a portfolio optimizationPortfolio Optimisation under participation constraintsPortfolio optimisation in R - group ratio constraintsHow to add a constraint in CVaR optimization code in Matlab?SciPy portfolio optimization with industry-level constraintsCVaR Matlab OptimizationMean Variance Optimization + Python + tuning constraints
I am constructing a function in Matlab that chose optimal portfolio weights, maximizing the investor's utility function.
I am using fmincon, because I don't want to use the portfolio object of Matlab since I prefer to make the code more flexible because I have different measure of the coefficient of risk aversion.
However, I would like to add a cardinality constraint that during the optimisation of my portfolio select not all the assets, but just a small number (like the maxnumasset in the portfolio object), but I don't know how to add this.
matlab optimization constraints cardinality
edited 13 hours ago
Trilarion
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
put on hold as unclear what you're asking by Wolfie, Trilarion, Vogel612, Billal Begueradj, Joel yesterday
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
I am constructing a function in Matlab that chose optimal portfolio weights, maximizing the investor's utility function.
I am using fmincon, because I don't want to use the portfolio object of Matlab since I prefer to make the code more flexible because I have different measure of the coefficient of risk aversion.
However, I would like to add a cardinality constraint that during the optimisation of my portfolio select not all the assets, but just a small number (like the maxnumasset in the portfolio object), but I don't know how to add this.
matlab optimization constraints cardinality
edited 13 hours ago
Trilarion
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
put on hold as unclear what you're asking by Wolfie, Trilarion, Vogel612, Billal Begueradj, Joel yesterday
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday
add a comment |
I am constructing a function in Matlab that chose optimal portfolio weights, maximizing the investor's utility function.
I am using fmincon, because I don't want to use the portfolio object of Matlab since I prefer to make the code more flexible because I have different measure of the coefficient of risk aversion.
However, I would like to add a cardinality constraint that during the optimisation of my portfolio select not all the assets, but just a small number (like the maxnumasset in the portfolio object), but I don't know how to add this.
matlab optimization constraints cardinality
edited 13 hours ago
Trilarion
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I am constructing a function in Matlab that chose optimal portfolio weights, maximizing the investor's utility function.
I am using fmincon, because I don't want to use the portfolio object of Matlab since I prefer to make the code more flexible because I have different measure of the coefficient of risk aversion.
However, I would like to add a cardinality constraint that during the optimisation of my portfolio select not all the assets, but just a small number (like the maxnumasset in the portfolio object), but I don't know how to add this.
matlab optimization constraints cardinality
matlab optimization constraints cardinality
edited 13 hours ago
Trilarion
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited 13 hours ago
Trilarion
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited 13 hours ago
Trilarion
6,71253978
edited 13 hours ago
Trilarion
6,71253978
edited 13 hours ago
Trilarion
6,71253978
6,71253978
asked yesterday
ArmandoArmando
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
ArmandoArmando
141
asked yesterday
ArmandoArmando
141
141
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Armando is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
put on hold as unclear what you're asking by Wolfie, Trilarion, Vogel612, Billal Begueradj, Joel yesterday
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
put on hold as unclear what you're asking by Wolfie, Trilarion, Vogel612, Billal Begueradj, Joel yesterday
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday
add a comment |
A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday
A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday
A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday
add a comment |
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A heuristic approach is solving the problem without the constraint, removing the item with the lowest weight and repeating the procedure iteratively until the number of non-zero weights is sufficiently small. However, that may not give the optimal solution. (There is a similar, unsolved question).
– Trilarion
yesterday