Linear inequalities for fixing total portfolio value
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] = pcpval(PortValue, NumAssets)
Scalar total value of asset portfolio (sum of the allocations
in all assets).
Number of available asset investments.
[A,b] = pcpval(PortValue, NumAssets) scales
the total value of a portfolio of
PortValue. All portfolio weights, bounds, return,
and risk values except
portopt) are in terms of
A is a matrix and
vector such that
A*PortWts' <= b, where
NASSETS vector of asset allocations.
pcpval is called with fewer than two output
arguments, the function returns
Scale the value of a portfolio of three assets = 1, so all return values are rates and all weight values are in fractions of the portfolio.
PortValue = 1; NumAssets = 3; [A,b] = pcpval(PortValue, NumAssets)
A = 1 1 1 -1 -1 -1 b = 1 -1
Portfolio weights of 40%, 10%, and 50% in the three assets satisfy the constraints.