I am using quadprog
link to find a portfolio of optimal weights.
So far, I have managed to implement a long only constraint (i.e. weights cannot be smaller than zero w >= 0 and w1 + w2 + ... wN = 1)
as follows:
FirstDegree = zeros(NumAssets,1);
SecondDegree = Covariance;
Aeq = ones(1,NumAssets);
beq = 1;
A = -eye(NumAssets);
b = zeros(NumAssets,1);
x0 = 1/NumAssets*ones(NumAssets,1);
MinVol_Weights = quadprog(SecondDegree,FirstDegree,A,b,Aeq,beq,[],[],x0, options);
I am now tring to setup a short-only constraints, i.e. all the weights need to add up to -1 and they should be all strict smaller or equal to zero. How can this be rewritten?