www.gusucode.com > GAVPai_Book_MathworksCntrlFileEx_May2019 > GAVPai_Book_MathworksCntrlFileEx_May2019/min_var_objfun.m
% Chapter 1 Equation [1.21] % Objective: to obtain optimal weights for the minimum variance portfolio % using quadratic programming %--------------------------------------------------------------------- %Inputs: Portfolio size (portfolio_size), covariance of returns (cov_data), %Output: Optimal weight set of the minimum risk portfolio (var_x), % minimal risk value (min_obj_fun_val) function [var_x, min_obj_fun_val]= min_var_objfun(portfolio_size, cov_data) echo off H=2*cov_data; % matrix H f=zeros(portfolio_size, 1); % vector f % Aeq and beq represent equality constraints Aeq=ones(1, portfolio_size); beq=1; % lower and upper bounds for variables xi lb=zeros(1, portfolio_size); ub=ones(1, portfolio_size); % obtain optimal weights using quadratic programming [var_x,min_obj_fun_val] = quadprog(H,f,[],[],Aeq, beq, lb,ub ); end