Unknown or unsupported solverType fmincon specified for this object

Hi, I get the error: Unknown or unsupported solverType fmincon specified for this object

when running this code:

load CAPMuniverse
p = Portfolio('AssetList',Assets(1:12));
p = setDefaultConstraints(p);
p = setSolver(p, 'fmincon');
display(p.solverType);

Answer 1

[Stephan]

Hi,

see the setSolver documentation. fmincon is not a valid solver for a Portfolio object. If you use a PortfolioCVaR or a PortfolioMAD object fmincon can be used.

Best regards

Stephan