how to run optimisation problem
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Hello!
How can I run such kind of optimization :
max Q subject to x = x1,..., xn, where = Rp / σp
and constraints :
Rp = R' * x
σp^2 =x' * Σ * x
sum(x) = 1
Can someone help me about how to write down my objective function ...and the rest of the constraints. What type of sover I need to use ?
Best regards,
2 Comments
Walter Roberson
on 21 Mar 2019
I think part of the equations got lost?
What is Q?
You say "where = " but what needs to equal that?
Why do you say "subject to" and list variable names?
In Rp / op is that matrix division (least squared fitting) or is it element-by-element division ?
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