Hello,

i'd like to minimize the tracking-error of my portfolio. The solver should find the weight of the assets.

The constraints are :
-the non-negativity of the weight
-the sum of the weights equals to 1
-relative return = expected relative return

But the solver gives the same weights to every asset except the first one
(25% + 3% + 3% + 3% + ...). The percentage value depends on the expected relative return.

Is there a way to fix this problem ?

thanks