Linear inequalities for individual asset allocation
[A,b] = pcalims(AssetMin,AssetMax,NumAssets)
| Scalar or |
| Scalar or |
| (Optional) Number of assets. Default = length of |
As an alternative to pcalims
, use the Portfolio object
(Portfolio
) 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] = pcalims(AssetMin,AssetMax,NumAssets)
specifies
the lower and upper bounds of portfolio allocations in each of NumAssets
available
asset investments.
A
is a matrix and b
is
a vector such that A*PortWts' <= b
, where PortWts
is
a 1
-by-NASSETS
vector of asset
allocations.
If pcalims
is called with fewer than two
output arguments, the function returns A
concatenated
with b
[A,b]
.
Set the minimum weight in every asset to 0 (no short-selling), and set the maximum weight of IBM® stock to 0.5 and CSCO to 0.8, while letting the maximum weight in INTC float.
Asset | IBM | INTC | CSCO |
---|---|---|---|
Minimum Weight | 0 | 0 | 0 |
Maximum Weight | 0.5 | 0.8 |
AssetMin = 0 AssetMax = [0.5 NaN 0.8] [A,b] = pcalims(AssetMin, AssetMax)
A = 1 0 0 0 0 1 -1 0 0 0 -1 0 0 0 -1 b = 0.5000 0.8000 0 0 0
Portfolio weights of 50% in IBM and 50% in INTC satisfy the constraints.
Set the minimum weight in every asset to 0 and the maximum weight to 1.
Asset | IBM | INTC | CSCO |
---|---|---|---|
Minimum Weight | 0 | 0 | 0 |
Maximum Weight | 1 | 1 | 1 |
AssetMin = 0 AssetMax = 1 NumAssets = 3 [A,b] = pcalims(AssetMin, AssetMax, NumAssets)
A = 1 0 0 0 1 0 0 0 1 -1 0 0 0 -1 0 0 0 -1 b = 1 1 1 0 0 0
Portfolio weights of 50% in IBM and 50% in INTC satisfy the constraints.