What is "Unable to compute indifference curve tangency portfolio."?

I was playing around with the function portalloc to compute the tangency portfolio, the following error message occurred:

??? Error using ==> portalloc at 199
Unable to compute indifference curve tangency portfolio.

I have googled for this issue, but no answered so far.

Can anyone help to elaborate the cause of this error? Thanks in advance!

Answer 1

[Aurelien Queffurust]

There is a explanation about this error by Bob taylor : matlabcentral

it may help you to understand the error message.

[Michael Teo]

Thanks. I have tried what was mentioned in that thread, by playing around with the RiskAversion parameter of the function portalloc.

But the error still surfaced.

May i ask what the error message means in layman terms?

[Walter Roberson]

I am not familiar with this subject area, so my interpretation might not be on the same planet as the truth, but what Bob's explanation seemed to mean to me was:

The program has calculated that the balance of assets needed to meet your targets cannot include any Risk-Free assets at all. . You should either remove the Risk-Free assets and calculate without them, or else you should keep increasing the RiskAversion parameter until importance of including some Risk-Free assets is sufficient for the calculation to balance.

[Michael Teo]

Thank you for the descriptive info, it helps!

By increasing the risk aversion parameter to a "big" value, it "resolved" the issue. Its was also mentioned in the thread referred by Aurelien.