Markowitz portfolio with L1 norm regularization added L1 norm regularization based on the original model. The constraint equation is as follows:
The following code is the original Markowitz Mean-Variance model in matlab.
ExpReturn = [0.1 0.2 0.15]; ExpCovariance = [ 0.0100 -0.0061 0.0042 -0.0061 0.0400 -0.0252 0.0042 -0.0252 0.0225]; NumPorts = 4; [PortRisk, PortReturn, PortWts] = frontcon(ExpReturn,ExpCovariance, NumPorts)
I have just started with Matlab and I don't know how to solve it in matlab.
Or is there any matlab code/toolbox to solve it? thank you!