Specify Portfolio Constraints
Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints
Working with a PortfolioCVaR object,
use functions to define constraints for portfolio assets such as
linear equality and inequality, bound, budget, group, group ratio,
and turnover constraints.
Objects
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
Functions
Topics
Portfolio Optimizations
- Working with CVaR Portfolio Constraints Using Defaults
The most basic or “default” portfolio set requires portfolio weights to be nonnegative and to sum to1. - Working with 'Simple' Bound Constraints Using PortfolioCVaR Object
'Simple'bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights. - Working with Budget Constraints Using PortfolioCVaR Object
The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights. - Working with Conditional Budget Constraints Using PortfolioCVaR Object
The conditional budget constraint supports the Undertakings for Collective Investment in Transferable Securities (UCITS) directive for a PortfolioCVaR object. - Working with Group Constraints Using PortfolioCVaR Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights. - Working with Group Ratio Constraints Using PortfolioCVaR Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets. - Working with Linear Equality Constraints Using PortfolioCVaR Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights. - Working with Linear Inequality Constraints Using PortfolioCVaR Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights. - Working with Average Turnover Constraints Using PortfolioCVaR Object
The turnover constraint is an optional linear absolute value constraint that enforces an upper bound on the average of purchases and sales. - Working with One-Way Turnover Constraints Using PortfolioCVaR Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales. - Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using PortfolioCVaR Objects
Using'Conditional'BoundType,MinNumAssets, andMaxNumAssetsconstraints with PortfolioCVaR objects. - Adding Constraints to Satisfy UCITS Directive
This example shows how to set up and solve a portfolio optimization problem that satisfies the Undertakings for Collective Investment in Transferable Securities (UCITS) Directive. - Bond Portfolio CVaR Optimization Using Diebold-Li Model
This example shows how to perform bond portfolio optimization by using the Diebold-Li dynamic factor model of the yield curve to simulate and compute bond returns.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - Supported Constraints for Portfolio Optimization Using PortfolioCVaR Object
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set. - Default Portfolio Problem
The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to1. - PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio. - When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.
