Dear all
I have a optimization problem as follows. And would appreaciated if
someone can give me the reply soon.
I aim to optimize the portfolio in considering the transaction cost.
Hence the objective function is:
Min: 1/2 w^T* omega*w-mu^T*w-c^T*(w-w0) when w[i]>wo[i]
1/2 w^T* omega*w-mu^T*w+c^T*(w0-w) when w[i]<w0[i]
Where w is the update weight vector of the portfolio
omiga is the variance-covariance matrix
mu is the vector of the return rate
wo is the initial vector weight
C is the coefficient of transaction cost
It is in a bit of emergency. I would be really appreciated if anybody
can give me the reply ASAP.
Many thanks
Yunlei
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