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Can you call the global opt. toolbox from the financial toolbox to solve portfolio optimizations? And what are the merits/ pitfalls of using these toolboxes vs something like CVX?

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Brendan Hamm
Brendan Hamm on 11 Oct 2016
The Portfolio datatypes in the Financial Toolbox cannot use Global Optimization solvers. On the other hand you can use a Global Optimizer which in turn calls the Portfolio optimizations. I have seen this used in several different scenarios.
The benefits of using the Portfolio datatypes over CVX is that it is using a convex solver already and setting your problem up is easy. CVX is just trying to make the MATLAB code for general convex problems easier, but does not contain pre-defined types of constraints (group constraints, tracking error, etc.). Furthermore CVX is not capable of solving using non-derivative based solvers. So for instance if you have a non-smooth problem you may wish to go the route of Global optimization.
  2 Comments
Mooms
Mooms on 11 Oct 2016
Thank you. That is very interesting. To clarify: I can use the portfolio object as an input into the Global Optimizer? Any examples of this would be greatly appreciated. Thanks again.
Brendan Hamm
Brendan Hamm on 12 Oct 2016
I would not go as far to call it an input to the Global Optimizer. A Global optimizer is just trying to minimize some objective function, but in that objective function it is possible that you call another Optimization routine, such as is done with the Portfolio objects.

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