Help with the function fmincon for optimizing a portfolio

Hi. Simple Q ...

I'm optimizing the weights in the DOW30 for that past 100 weeks (a 100x30 matrix). The constraints are that each of the constituent weights has to be between 0 and 1 AND the total of the 30 weights = 1. Simple.

I'm having a hard time understanding the arguments passed to fmincon. X0,A,B,Aeq,Beq. I get that UB=1, LB=0. But which argument caps the total weight to 1? And which arguments do I not use?

Thanks a ton.

Answer 1

[Walter Roberson]

Use Aeq = ones(1,number_of_variables) and beq = 1 and lb = zeros(1, number_of_variables) and ub = ones(1, number_of_variables) and A empty and b empty

This will express that the sum of 1 times each of the variables, must exactly total 1

[Andrew Burns]

Thank you sir!!