I want to contruct an optimized stock portfolio with the restriction of a zero-investment strategy. The portfolio weight in each stock needs to be modeled as a function of state variables (factors that have an effect on stock performance). This method for portfolio optimization is colled "parametric portfolio policy" and developed by Brandt et al (2009),so I need to find the weight for each stock in the optimized portfolio and maximize the investor’s expected utility, like following;
Here is the expression of the weight of the stock i
Tetais a vector of coefficients of state variables and
x presents the state variables.
How to program the problem using Matlab? I am not good in modeling and optimization..I would be grateful for any help