Failure in initial objective function evaluation. FMINCON cannot continue HELP

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Leonardo Coccia
Leonardo Coccia on 6 Jul 2021
Commented: Steve Grikschat on 6 Jul 2021
Hi, I have to solve the problem in the image but my fmincon doesn't work. Someone could help me? My code attached. Thanks in advance!
n_asset = size(Assets,2);
Aeq = ones(1,n_asset);
beq = 1;
x0 = mean(Returns);
lb = zeros(1,n_asset);
ub = ones(1,n_asset);
fun = @(x) -(x')*(sqrt(variance))/sqrt((x')*Covariance*(x))
w = -fmincon(fun,x0,[],[],Aeq,beq,lb,ub)
  2 Comments
Steve Grikschat
Steve Grikschat on 6 Jul 2021
fmincon calls the objective with x0 before starting and that's where this error occurs.
Try evaluating fun with x0 before calling fmincon. That will give you the specific error.

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