How to apply fmincon when we have long function creation

Fmincon doesnt use the function f That I created so my result doesnt make sense can anyone help me please

       x0 = w_maxRet;
      [x,fval] = fmincon(@objfun,x0,[],[],[1 1 1 1],[1],[0 0 0 0],[]);

      function f = objfun(w1, w2, w3, w4)
  clc
  w_maxRet = [0.3382 0.3382 0.1414 0.1821];

initial_position = 1000000 * w_maxRet;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% You can insert your code here %
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

global four_data_prices;
for i = 1:size(four_data_prices,2)
    for j = 1:size(four_data_prices,1)-1

          cumul_Return(j,i) = ((four_data_prices(j+1,i)-four_data_prices(1,i))/four_data_prices(1,i)+1);
          cumul_Value(j,i) = cumul_Return(j,i) * initial_position(1,i);

      end
  end

% 2. Calculate the cumulative return and cumulative value of your position in each equity
% all the way from the first to the last day.
cumReturn = [100*ones(1,size(four_data_prices,2)) ; cumul_Return];
cumValue = [initial_position ; cumul_Value];

%3. Calculate the cumulative return and total value (total portfolio value is the sum of daily
% values of all portfolio components) of your fund all the way from the first to the last
% day.
fund_totalValue = transpose(sum(cumValue'));
%4. Calculate daily rate of return (daily return of your portfolio) of your your fund all the way from the first to the last day.
for i = 1:size(fund_totalValue,1)-1
    fund_cumulRet(i,1) = (1+(fund_totalValue(i+1,1)-fund_totalValue(i,1))/fund_totalValue(i,1))*100;
    fund_dailyRet(i,1) = ((fund_totalValue(i+1,1)-fund_totalValue(i,1))/fund_totalValue(i,1))*100;
end

fund_cumulRet = [100 ; fund_cumulRet];

%Calculate annual rate of return of your portfolio
annual_rate = (fund_totalValue(end/1)/fund_totalValue(1,1))-1;
%6,7 calculate mean and st_dev
average_daily_return = mean(fund_dailyRet);
st_dev_daily_return = std(fund_dailyRet);

% 8. Calculate annualized Sharpe ratio of your portfolio
 annualized_SR = sqrt(252)*(average_daily_return/st_dev_daily_return);

    f = sqrt(252)*(average_daily_return/st_dev_daily_return);
    end

Answer 1

[Walter Roberson]

You wrote your objfun to expect 4 parameters, but fmincon will only pass 1 parameter, a vector the same length as your x0.

Please read http://www.mathworks.com/help/optim/ug/passing-extra-parameters.html if you need extra parameters.