Specify Portfolio Constraints
Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints
|Create Portfolio object for mean-variance portfolio optimization and analysis|
Add Portfolio Parameters
|Add linear equality constraints for portfolio weights to existing constraints|
|Add group ratio constraints for portfolio weights to existing group ratio constraints|
|Add group constraints for portfolio weights to existing group constraints|
|Add linear inequality constraints for portfolio weights to existing constraints|
Display Portfolio Parameters
|Obtain bounds for portfolio weights from portfolio object|
|Obtain budget constraint bounds from portfolio object|
|Obtain buy and sell transaction costs from portfolio object|
|Obtain equality constraint arrays from portfolio object|
|Obtain group ratio constraint arrays from portfolio object|
|Obtain group constraint arrays from portfolio object|
|Obtain inequality constraint arrays from portfolio object|
|Obtain one-way turnover constraints from portfolio object|
Set Portfolio Parameters
|Set up group constraints for portfolio weights|
|Set up linear inequality constraints for portfolio weights|
|Set up bounds for portfolio weights for portfolio|
|Set up budget constraints for portfolio|
|Set up proportional transaction costs for portfolio|
|Set up portfolio constraints with nonnegative weights that sum to 1|
|Set up linear equality constraints for portfolio weights|
|Set up group ratio constraints for portfolio weights|
|Set up initial or current portfolio|
|Set up one-way portfolio turnover constraints|
|Set up maximum portfolio turnover constraint|
|Set up benchmark portfolio for tracking error constraint|
|Set up maximum portfolio tracking error constraint|
|Set cardinality constraints on the number of assets invested in a portfolio|
- Working with Portfolio Constraints Using Defaults
The most basic or “default” portfolio set requires portfolio weights to be nonnegative and to sum to
- Working with 'Simple' Bound Constraints Using Portfolio Object
'Simple'bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights.
- Working with Budget Constraints Using Portfolio Object
The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights.
- Working with Group Constraints Using Portfolio Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.
- Working with Group Ratio Constraints Using Portfolio Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets.
- Working with Linear Equality Constraints Using Portfolio Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.
- Working with Linear Inequality Constraints Using Portfolio Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights.
- Working with Average Turnover Constraints Using Portfolio 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 Portfolio Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales.
- Working with Tracking Error Constraints Using Portfolio Object
Tracking error constraints are optional constraints that measure the risk relative to a portfolio called a tracking portfolio.
- Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects
MaxNumAssetsconstraints with portfolio objects.
- Constraint Specification Using a Portfolio Object
This example computes the efficient frontier of portfolios consisting of three different assets, INTC, XON, and RD, given a list of constraints.
- Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a
Portfolioobject to estimate efficient portfolios.
- Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of the
- Portfolio Analysis with Turnover Constraints
This example shows how to analyze the characteristics of a portfolio of equities, and then compare them with the efficient frontier.
- Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the
setBudgetfunction for the
Portfolioclass to define the limits on the
sum(AssetWeight_i)in risky assets.
- Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
- Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with the
Portfolioclass in Financial Toolbox™.
- Portfolio Optimization Using Social Performance Measure
Portfolioobject to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
- Supported Constraints for Portfolio Optimization Using Portfolio Objects
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.
- Portfolio Object Workflow
Portfolio object workflow for creating and modeling a mean-variance portfolio.
- Setting Up a Tracking Portfolio
The Portfolio object property
TrackingPortlets you identify a tracking 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.