I state that I am not very experienced in MATLAB. I should create and minimize a function to find the weights of an asset allocation problem. The problem is as follow:
Minimize ∑(RC(Fj)/σP−1/M)^2 for j=1:M
sub ∑x=1
where RC(Fj) = (A⊤x)j⋅ (A+Σx/√x⊤Σx)j
where
- A is a loadings matrix
- A+ is Moore-Penrose inverse of A
- Σ is a covariance matrix
- x is a weights vector
I would need some codes to solve these problems. Thank you in advance.
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