Hi,

I am trying to implement the following equality constraint for using it in fmincon:

where

and TargetVariance is a fixed numeric value. The size of w is 1xN.

This is a minimal example of my code.

`%Input`

Mu = [.1, .15, .12];Cov = [.3, .1, .2; .1, .5, .1; .2, .1, .7];% Prepare vector of ones.

N = numel(Mu);one = ones(1,N);% Objective function.

NegPFMu = @(w) -Mu * w';% Set equal weights as initial point.

w0 = one * (1/N);% Sum of weights constraint.

Aeq = one;beq = 1;% Shortselling constraint.

lb = zeros(1,N);% Minimize.

wopt = fmincon(NegPFMu, w0, [], [], Aeq, beq, lb);

Can you help me with the constraint?

I was thinking about something like the following but I don't how to call that as my nonlcon then.

`function [c, ceq] = mycon(w, Cov, TargetVariance)PortfolioVariance = @(w) w*Cov*w'ceq = PortfolioVariance(w) - Targetvariance;c = [];end`

Could you help me please?

## Best Answer