I'm trying to solve the optimization problem below with MatLab, but I'm unsure of how to modify the constraints in the quadprog function (or how to add the constraints with the Portfolio object).
In the formulation below, omega is the weight of the asset in the portfolio (which we are trying to find). The capital sigma is the covariance matrix of asset returns. mu is the expected return. delta is the maximum allowed deviation of the expected return of an asset i, from an estimated value mu(i). gamma is a bound for the amount of shorting allowed. l and h are lower and upper limits for the weights.