weights2holdings

Portfolio values and weights into holdings

Syntax

Holdings = weights2holdings(Values,Weights,Prices)

Description

Holdings = weights2holdings(Values,Weights,Prices) converts portfolio values and weights into portfolio holdings.

Note

weights2holdings does not create round-lot positions. The output Holdings are floating-point values.

Input Arguments

Values — Portfolio values

scalar numeric | vector

Portfolio values, specified as a scalar or an NPORTS vector.

Data Types: double

Weights — Portfolio weights

matrix

Portfolio weights, specified as an NPORTS-by-NASSETS matrix. The weights sum to the value of a Budget constraint, which is usually 1. (See holdings2weights for information about budget constraints.)

Data Types: double

Prices — Asset prices

vector

Asset prices, specified as an NASSETS vector.

Data Types: double

Output Arguments

Holdings — Holdings value

matrix

Holdings value, returned as an NPORTS-by-NASSETS matrix that contains the holdings of NPORTS portfolios that contain NASSETS assets.

Version History

Introduced before R2006a