Linear inequalities for asset group comparison constraints
As an alternative to
the Portfolio object (
for mean-variance portfolio optimization. This object supports gross
or net portfolio returns as the return proxy, the variance of portfolio
returns as the risk proxy, and a portfolio set that is any combination
of the specified constraints to form a portfolio set. For information
on the workflow when using Portfolio objects, see Portfolio Object Workflow.
[A,b] = pcgcomp(GroupA, AtoBmin, AtoBmax, GroupB)
Number of groups (
[A,b] = pcgcomp(GroupA, AtoBmin, AtoBmax, GroupB) specifies
that the ratio of allocations in one group to allocations in another
group is at least
AtoBmin to 1 and at most
1. Comparisons can be made between an arbitrary number of group pairs
NASSETS available investments.
A is a matrix and
vector such that
A*PortWts' <= b, where
NASSETS vector of asset allocations.
pcgcomp is called with fewer than two
output arguments, the function returns
Make the North American energy sector compose exactly 20% of the North American investment.
% INTC XOM RD GroupA = [ 0 1 0 ]; % North American Energy GroupB = [ 1 1 0 ]; % North America AtoBmin = 0.20; AtoBmax = 0.20; [A,b] = pcgcomp(GroupA, AtoBmin, AtoBmax, GroupB)
A = 0.2000 -0.8000 0 -0.2000 0.8000 0 b = 0 0
Portfolio weights of 40% for INTC, 10% for XOM, and 50% for RD satisfy the constraints.