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创建投资组合

为均值-绝对偏差 (MAD) 投资组合优化创建 PortfolioMAD 对象

有关创建 PortfolioMAD 对象的信息,请参阅Creating the PortfolioMAD Object

对象

PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

函数

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

示例和操作指南

Creating the PortfolioMAD Object

To create a fully specified MAD portfolio optimization problem, instantiate the PortfolioMAD object using the PortfolioMAD function.

Common Operations on the PortfolioMAD Object

Common operations for setting up a PortfolioMAD object.

Setting Up an Initial or Current Portfolio

The PortfolioMAD object property InitPort lets you identify an initial or current portfolio.

概念

Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

PortfolioMAD Object

Using the PortfolioMAD object and associated functions for portfolio optimization.

PortfolioMAD Object Workflow

PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.