Rolling window using optimProbelm

Hello,

I am trying to set a portfolio in an optimization problem as a rolling window. Bascially I am trying to recereate the following portfolios on this website but in a rolling window fashion:

https://de.mathworks.com/help/finance/methods-for-diversification-of-portfolios.html

diverseProb = optimproblem('ObjectiveSense','minimize');

My problem is that I cannot create many diverseProb = optimproblem(.....); in a loop. I tried it with indexing

for i=1: T-WindowSize

diverseProb(i) = optimproblem('ObjectiveSense','minimize');

end

However, it does not work - as I have many wndows I do not want to do it manually, Is there a way to " stack thee OptimizationProblem objects?

Thank you.

[dleal]

Have you tried using a cell array?

diverseProbs = cell(1,T-WindowSize);

for i=1:T-WindowSize

diverseProb{1,i} = optimproblem('ObjectiveSense','minimize');

end

Answer 1

[Nipun]

Hi Karoline,

I understand that you are trying to pre-allocate the Optimization Problem objects for latter deployment in your code. I assume you have created a list of the required size that you wish to pre-allocate.

I suggest using a cell array for preallocation. I am attaching a reference code below that might help with allocating the optimization objects.

diverseProb = cell(T-WindowSize,1)
for i=1:T-WindowSize
    diverseProb{i,1} = optimproblem('ObjectiveSense','minimize');
end

Note that I have created a column vector as MATLAB stores elements column-first in memory. This way, it can leverage fast retrieval from memory when called. Hope this helps.

Regards,

Nipun