Convert constraints from absolute to active format
transforms a constraint matrix to an equivalent matrix expressed in active weight
format (relative to the index).ActiveConSet
= abs2active(AbsConSet
,Index
)
abs2active
transforms a constraint matrix to an equivalent matrix
expressed in active weight format (relative to the index). The transformation equation
is
Therefore
The initial constraint matrix consists of
NCONSTRAINTS
portfolio linear inequality constraints expressed in
absolute weight format. The index portfolio vector contains NASSETS
assets.
active2abs
| pcalims
| pcglims
| pcpval
| portcons
| Portfolio
| setInequality