How to put a constraint on weights of assets in a portfolio when using portopt function in MATLAB

Question

I am trying to optimize a portfolio with 10 assets and those can be grouped into five. Say asset one and two is in group 1. Now in my optimization, I need the weights of group assets to be equal. For example, Asset 1 and Asset 2 is in group 1. So I need weights of asset 1 and asset 2 to be equal in the possible optimized portfolio. How do I include this constraint into portopt function?

Many thanks in advance.

Answer 1

Group them prior to optimization.

For example, if a group k consists of x,y,z, and you wish them to have the same weight, then just set this weight. Create synthetic: k = 1/3 * (x + y + z). Then optimize the groups, not the assets.