www.gusucode.com > GAVPai_Book_MathworksCntrlFileEx_May2019 > GAVPai_Book_MathworksCntrlFileEx_May2019/Rebal_comp_fitness.m
function [obj_val ] = Rebal_comp_fitness(popln_mat, covariance_dat, psi) [popln_size, ~]= size(popln_mat); obj_val = zeros(popln_size,1); stdev_assets = sqrt(diag(covariance_dat)); for i = 1:popln_size weight = popln_mat(i,:); % compute portfolio risk P P = sqrt(weight * covariance_dat * weight'); obj_val(i) = ((sum(stdev_assets .* weight')) / P) - psi(i); end