Hi! I am trying to solve the optimization problem for a risk parity portfolio. To be precise:
w is a nx1 vector of portfolio weigths and C th nxn covariance matrix.
The variable port_size is a scalar that returns the number of assets invested in.
I tried to solve it with fmincon, but the first problem that is appearing is that apparently I cannot do the fun_rp = @(w_rp) with the for loop as MATLAB gives me the error: illegal use of reserved keyword "for".
w_mv0 = [0.25; 0.25; 0.25; 0.25];
Aeq = ones(1, port_size);
beq = 1;
lb = zeros(1, port_size);
ub = ones(1, port_size);
fun_rp = @(w_rp) for i = 1:port_size
for j = 1: port_size
w_rp = fmincon(fun_rp,w_rp0,,,Aeq,beq,lb,ub)
Does anybody know where my mistake is? I´d appriciate every help!