Specify Portfolio Constraints
Objects
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
Functions
Examples and How To
- Working with CVaR Portfolio Constraints Using Defaults
The most basic or “default” portfolio set requires portfolio weights to be nonnegative and to sum to
1
. - Working with 'Simple' Bound Constraints Using PortfolioCVaR Object
'Simple'
bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights. - Working with Budget Constraints Using PortfolioCVaR Object
The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights.
- Working with Group Constraints Using PortfolioCVaR Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.
- Working with Group Ratio Constraints Using PortfolioCVaR Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets.
- Working with Linear Equality Constraints Using PortfolioCVaR Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.
- Working with Linear Inequality Constraints Using PortfolioCVaR Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights.
- Working with Average Turnover Constraints Using PortfolioCVaR Object
The turnover constraint is an optional linear absolute value constraint that enforces an upper bound on the average of purchases and sales.
- Working with One-Way Turnover Constraints Using PortfolioCVaR Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales.
- Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using PortfolioCVaR Objects
Using
'Conditional'
BoundType
,MinNumAssets
, andMaxNumAssets
constraints with PortfolioCVaR objects.
Concepts
- Portfolio Set for Optimization Using PortfolioCVaR Object
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.
- Default Portfolio Problem
The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to
1
. - PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.
- When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.