Set up maximum portfolio turnover constraint
sets up maximum portfolio turnover constraint for obj
= setTurnover(obj
,Turnover
)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.
sets up maximum portfolio turnover constraint for portfolio objects with
additional options specified for obj
= setTurnover(obj
,Turnover
,InitPort
,NumAssets
)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
You can also use dot notation to set up the maximum portfolio turnover constraint.
obj = obj.setTurnover(Turnover, InitPort, NumAssets);
getOneWayTurnover
| setInitPort
| setOneWayTurnover