setTurnover

Set up maximum portfolio turnover constraint

Syntax

obj = setTurnover(obj,Turnover)

obj = setTurnover(obj,Turnover,InitPort,NumAssets)

Description

obj = setTurnover(obj,Turnover) sets up maximum portfolio turnover constraint for Portfolio, PortfolioCVaR, or PortfolioMAD objects. For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

obj = setTurnover(obj,Turnover,InitPort,NumAssets) sets up maximum portfolio turnover constraint for portfolio objects with additional options specified for Turnover, InitPort, and NumAssets.

Given an upper bound for portfolio turnover in Turnover and an initial portfolio in InitPort, the turnover constraint requires any portfolio in Port to satisfy the following:

1' *1/2* | Port - InitPort | <= Turnover

Examples

Set Turnover Constraint for a Portfolio Object

Given a Portfolio object p, to ensure that average turnover is no more than 30% with an initial portfolio of 10 assets in a variable x0, use the setTurnover method to set the turnover constraint.

x0 = [ 0.12; 0.09; 0.08; 0.07; 0.1; 0.1; 0.15; 0.11; 0.08; 0.1 ]; 
p = Portfolio('InitPort', x0);
p = setTurnover(p, 0.3);

disp(p.NumAssets);

    10

disp(p.Turnover);

    0.3000

disp(p.InitPort);

    0.1200
    0.0900
    0.0800
    0.0700
    0.1000
    0.1000
    0.1500
    0.1100
    0.0800
    0.1000

Set Turnover Constraint for a CVaR Portfolio Object

Given a CVaR portfolio object p, to ensure that average turnover is no more than 30% with an initial portfolio of 10 assets in a variable x0, use the setTurnover method to set the turnover constraint.

x0 = [ 0.12; 0.09; 0.08; 0.07; 0.1; 0.1; 0.15; 0.11; 0.08; 0.1 ]; 
p = PortfolioCVaR('InitPort', x0);
p = setTurnover(p, 0.3);

disp(p.NumAssets);

    10

disp(p.Turnover);

    0.3000

disp(p.InitPort);

    0.1200
    0.0900
    0.0800
    0.0700
    0.1000
    0.1000
    0.1500
    0.1100
    0.0800
    0.1000

Set Turnover Constraint for a MAD Portfolio Object

Given PortfolioMAD object p, to ensure that average turnover is no more than 30% with an initial portfolio of 10 assets in a variable x0, use the setTurnover method to set the turnover constraint.

x0 = [ 0.12; 0.09; 0.08; 0.07; 0.1; 0.1; 0.15; 0.11; 0.08; 0.1 ]; 
p = PortfolioMAD('InitPort', x0);
p = setTurnover(p, 0.3);

disp(p.NumAssets);

    10

disp(p.Turnover);

    0.3000

disp(p.InitPort);

    0.1200
    0.0900
    0.0800
    0.0700
    0.1000
    0.1000
    0.1500
    0.1100
    0.0800
    0.1000

Input Arguments

obj — Object for portfolio

object

Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

• Portfolio

• PortfolioCVaR

• PortfolioMAD

Data Types: object

Turnover — Portfolio turnover constraint

nonnegative and finite scalar

Portfolio turnover constraint, specified as a nonnegative and finite scalar for a Portfolio, PortfolioCVaR, or PortfolioMADinput object (obj).

InitPort — Initial or current portfolio weights

0 (default) | finite vector with NumAssets > 0 elements.

Initial or current portfolio weights, specified as a finite vector with NumAssets > 0 elements for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Note

If no InitPort is specified, that value is assumed to be 0.

If InitPort is specified as a scalar and NumAssets exists, then InitPort undergoes scalar expansion.

Data Types: double

NumAssets — Number of assets in portfolio

1 (default) | scalar

Number of assets in portfolio, specified as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Note

If it is not possible to obtain a value for NumAssets, it is assumed that NumAssets is 1.

Data Types: double

Output Arguments

obj — Updated portfolio object

object for portfolio

Updated portfolio object, returned as a Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

• Portfolio

• PortfolioCVaR

• PortfolioMAD

Tips

You can also use dot notation to set up the maximum portfolio turnover constraint.

obj = obj.setTurnover(Turnover, InitPort, NumAssets);