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Martin Pott


Tilburg University

Active since 2014

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Steps between iterations too large
I use the fminunc function (active-set algorithm) in Matlab to optimize a function. I expect the values of the optimized paramet...

10 years ago | 1 answer | 0

1

answer

Answered
Issues using an efficient positivity constraint
Indeed, doing the calculations I see the first one is not correct and the second one is. Thank you.

10 years ago | 0

Answered
Issues using an efficient positivity constraint
Dear Thorsten, I did not make this very clear in my question, sorry. The matrix consist of weights within a portfolio constru...

10 years ago | 1

Question


Issues using an efficient positivity constraint
I want to use the following command to obtain only values of 0 or higher for the values in the 600x495 weight matrix p_w: f...

10 years ago | 4 answers | 0

4

answers

Question


Fmincon significance; which statistics to use?
I've used the fmincon function to optimize a utility function in a portfolio selection problem. Now that I have the parameters a...

10 years ago | 0 answers | 0

0

answers

Question


Panel data regression (fixed effects)
I would like to run a panel data regression which is formatted in the following way: -dependent variable: *618x14038 (num...

10 years ago | 1 answer | 0

1

answer

Answered
Estimator standard errors using fmincon (portfolio optimization context)
Thanks everyone for helping me with my problem. After rerunning the optimization it turned out that my estimators were all well ...

10 years ago | 0

Answered
Estimator standard errors using fmincon (portfolio optimization context)
Dear Roger and Matt, Thank you very much for your response. If I understand correctly, I need to run the estimation again, bu...

10 years ago | 0

Question


Estimator standard errors using fmincon (portfolio optimization context)
I'm trying to get standard errors of the estimators in my optimization. I use the fmincon function with the active-set algorithm...

10 years ago | 4 answers | 0

4

answers

Question


Find index where value exceeds threshold
Dear all, I want to be able to find indices where values exceed a certain threshold. So if my variable of interest is called ...

10 years ago | 2 answers | 0

2

answers

Answered
Transforming panel data variables (from Excel/Stata) to multiple matrices in Matlab
I have managed to edit the data to from 'long' to 'wide' in Stata and afterwards import it into Matlab, so the problem is fixed....

10 years ago | 0

| accepted

Question


Transforming panel data variables (from Excel/Stata) to multiple matrices in Matlab
I would like to know if it is possible to go from my Excel/Stata dataset to variables in matrix form. My problem is as follow...

10 years ago | 1 answer | 0

1

answer