# Tag Info

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From a general point of view and to answer directly to your originial question, you should only have to modify the inputs to the MATLAB function you refer to. As a matter of fact, fmincon is an optimizer looking to process a broad variety of problems as explained in the documentation: fmincon attempts to find a constrained minimum of a scalar function of ...

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In robust optimization, the true return is not known, we just have a prior $\alpha$ and you have to take into account a possible misestimate which can lower the true return. This is done under the assumption that the posterior return will be within the prior return $\alpha$ plus minus the error being in some $\sigma$-interval. Now a try for a more formal ...

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It depends on what you want to optimize with transaction costs: liquidation hedging allocation The two best reference I have in mind are: Gökay, S., Roch, A., Soner, 2011. Liquidity models in continuous and discrete time. In: Di Nunno, G., Øksendal, B. (Eds.), Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, pp. 333-365. URL ...

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The Lyxor white paper Regularization of Portfolio Allocation contains a lot on this topic. The head of quant research there, Thierry Roncalli, also held a talk about this recently.

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Whether or not it is flawed in practice depends on dynamic the risk exposures really are. Many factors or indices used for style analysis actually require dynamic trading to maintain - so you could potentially have a fund that trades a lot while still generating a return series that can be be modeled out of sample with static exposures. One relatively ...

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