Specify Portfolio Constraints
Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints
Working with a Portfolio object, use
functions to define the constraints for portfolio assets such as
linear equality and inequality, bound, budget, group, group ratio,
and turnover constraints.
Objects
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Functions
Topics
Specifying Constraints
- Working with Portfolio Constraints Using Defaults
The most basic or “default” portfolio set requires portfolio weights to be nonnegative and to sum to1. - Working with 'Simple' Bound Constraints Using Portfolio Object
'Simple'bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights. - Working with Budget Constraints Using Portfolio Object
The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights. - Working with Conditional Budget Constraints Using Portfolio Object
The conditional budget constraint supports the Undertakings for Collective Investment in Transferable Securities (UCITS) directive for a Portfolio object. - Working with Group Constraints Using Portfolio Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights. - Working with Group Ratio Constraints Using Portfolio Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets. - Working with Linear Equality Constraints Using Portfolio Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights. - Working with Linear Inequality Constraints Using Portfolio Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights. - Working with Average Turnover Constraints Using Portfolio 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 Portfolio Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales. - Working with Tracking Error Constraints Using Portfolio Object
Tracking error constraints are optional constraints that measure the risk relative to a portfolio called a tracking portfolio. - Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects
Using'Conditional'BoundType,MinNumAssets, andMaxNumAssetsconstraints with portfolio objects.
Using Constraints
- Constraint Specification Using a Portfolio Object
When constructing the efficient frontier, several constraints are typically considered. - Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with aPortfolioobject to estimate efficient portfolios. - Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of thePortfolioobject. - Portfolio Analysis with Turnover Constraints
This example shows how to analyze the characteristics of a portfolio of equities, and then compare them with the efficient frontier. - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudgetfunction for thePortfolioclass to define the limits on thesum(AssetWeight_i)in risky assets. - Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints. - Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with thePortfolioclass in Financial Toolbox™. - Portfolio Optimization Using Social Performance Measure
Use aPortfolioobject to minimize the variance, maximize return, and maximize the average percentage of women on a company's board. - Adding Constraints to Satisfy UCITS Directive
This example shows how to set up and solve a portfolio optimization problem that satisfies the Undertakings for Collective Investment in Transferable Securities (UCITS) Directive.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - Supported Constraints for Portfolio Optimization Using Portfolio Objects
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set. - Portfolio Object Workflow
Portfolio object workflow for creating and modeling a mean-variance portfolio. - Setting Up a Tracking Portfolio
The Portfolio object propertyTrackingPortlets you identify a tracking 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.
