Mean-Variance Optimization

[tgoodwin]

What is the best approach to m-v optimization in ev7? Use @logl or is there another way?

[trubador]

LogL object should work.

[PrateekAncha]

I understand that there is a new "optimize" function using which one can minimize variance function. I have written a subroutine (called f) which outline the arguments and the objective function). Can someone kindly help w.r.t to constrains. How do I ensure that sum of weights add up to 1 and each element of the weight vector lies between 0 and 1. Thanks.

optimize(min=1,coeff=2) f(variance, w, m_assetset,m_vcv)

[PrateekAncha]

I guess there is no ready made solution to do convex optimization in Eviews. Would be grateful if someone could kindly share any program written on how to do convex optimization...in Eviews (A good pseudo algo would be very helpful as well)