Portfolio optmization with nonlinear constraint

I want to add a nonlinear constraint to my portfolio optimization.

I'm using the finance toolbox, the Portfolio() object and the fonction estimateFrontier() to create my efficient frontier.

I'm abble to add linear constraints with Portfolio.setInequality() and Portfolio.setEquality().

There is no option for nonlinear constraint.

My nonlinear constraint, for instant, may be to limit the active risk contribution of a group of asset classes in my portfolio.

Thanks for your help

Answer 1

[Tushar Behera]

Hi Frederick,

I believe you want to do portfolio optimization with non-linear constraints using “portfolio” function.

Currently, the “Portfolio” function does not support non-linear constraints. One way to implement it is by creating a portfolio model outside the Portfolio class and call “FMINCON” with the interior point method.

Here is the link to the documentation on how to use “fmincon”,

https://www.mathworks.com/help/optim/ug/fmincon.html

Thanks and regards,

Tushar Behera