% problem:      minimize    x'Sx</span>
<span class="comment">%                   s.t.    p_'*x &gt;= r_min</span>
<span class="comment">%                           1'*x = 1,   x &gt;= 0</span>
<span class="comment">%                           sum_{i=1}^{0.1*n}x[i] &lt;= alpha</span>
<span class="comment">% where p_ and S are the mean and covariance matrix of the price range</span>
<span class="comment">% vector p, x[i] is the ith greatest component in x.</span>
<span class="comment">% The last constraint c