Failure in initial objective function evaluation. FMINCON cannot continue

[Lambda] =(mean(Benchmark)-monatlrisikofreierZins)/(2*std(Benchmark)^2);
Zielfunktion = (@(Ausgangsgewichte)Ausgangsgewichte'*(-Alpha)+Lambda*(-(AktiveGewichte'*Kovarianz*AktiveGewichte)));

Aeq=[ones(1,assets);-Beta'];
beq=[1;-1];

OptimierteGewichte = fmincon(Zielfunktion,Ausgangsgewichte,[],[],Aeq,beq,untereGrenze,obereGrenze);
AktiveGewichte = OptimierteGewichte - BenchmarkGewichte;

Error using *

Incorrect dimensions for matrix multiplication. Check that the number of columns in the first matrix matches the number of rows in the

second matrix. To perform elementwise multiplication, use '.*'.

Error in RelativeOptimierung>@(Ausgangsgewichte)Ausgangsgewichte'*(-Alpha)+Lambda*(-(AktiveGewichte'*Kovarianz*AktiveGewichte))

Error in fmincon (line 546)

initVals.f = feval(funfcn{3},X,varargin{:});

Error in RelativeOptimierung (line 47)

OptimierteGewichte = fmincon(Zielfunktion,Ausgangsgewichte,[],[],Aeq,beq,untereGrenze,obereGrenze);

Caused by:

Failure in initial objective function evaluation. FMINCON cannot continue.

[Torsten]

What do you get if you insert

size(Ausgangsgewichte)
size(Alpha)
size(AktiveGewichte)
size(Kovarianz)

before the line

Zielfunktion = ...
    

?

Furthermore, you will have to use .' instead of ' for transposition.

Answer 1

[Rebecca Biegger]

size(Ausgangsgewichte) = 1 8

size(Alpha) = 8 1

size(Kovarianz) = 8 8

Which one exactly should I transpose with ".'"?

[Torsten]

size(AktiveGewichte) = ?

And please don't start new answers if you only want to place a comment.

[Brendan Hamm]

The optimization toolbox will make Ausgangssgewichte a column vector. I'm a bit confused as this is the design variable, so you cannot actually call size(Ausgangsgewichte) which leads me to believe you assumed it to be of this size, but it is not.

[Rebecca Biegger]

size(AktiveGewichte) = 1 8

[Rebecca Biegger]

@Brendan Hamm: What does that mean for my code. What do I have to change?

[Torsten]

Try

Zielfunktion = @(Ausgangsgewichte) -Ausgangsgewichte*Alpha + Lambda*(-(AktiveGewichte*Kovarianz*AktiveGewichte.'));

But I'm confused about the part

Lambda*(-(AktiveGewichte*Kovarianz*AktiveGewichte.'))

If this part doesn't depend on "Ausgangsgewichte", you don't have to consider it in the objective function.