Solution in MATLAB Environment
Contents
Case study Omega Portfolio Rebalancing (see Formal Problem Statement) in MATLAB Environment is solved with riskratioprog PSG subroutine.
Main MATLAB code is in file CS Omega_Portfolio_Rebalancing.m.
Data are saved in file Omega.mat.
Let us describe the main operations. To run case study you need to do the following main steps:
In file CS Omega_Portfolio_Rebalancing.m:
Load data:
load 'omega.mat';
Specify function in denominator and its parameter:
risk1 = 'pm_pen';
w = 0;
Specify function in numerator:
risk2 = 'avg';
Optimize problem:
[x, fval, status, output] = riskratioprog(risk1, risk2, w, H, [], [], [], H, [], [], [], A, b, Aeq, beq, lb, ub); |
Remark
This subroutine solves the problem without constat "1" in the objective (CS.1) (see Formal Problem Statement). The following line calculates optimal value of the objective (CS.1):
fval = fval + 1;
Solution status = optimal
Optimal weights
0.1000
0.2000
0.0378
0.0602
-0.0000
0.0750
0.0000
0.1270
0.2000
0.2000
Solving time = 0.000000 sec
Objective = 1.151112