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自定义投资组合优化

估计最优投资组合,指定用户定义的目标函数,定义约束

使用 Portfolio 对象和 estimateCustomObjectivePortfolio 函数来计算自定义目标问题的解。estimateCustomObjectivePortfolio 函数接收具有用户定义的目标函数的函数句柄,并返回一个由投资组合权重组成的向量。此外,您还可以使用 Portfolio 对象的约束,例如线性等式和不等式、边界、预算、分组、分组比率、换手率、跟踪误差和风险约束。

对象

Portfolio创建 Portfolio 对象以进行均值-方差投资组合优化和分析

函数

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setBoundsSet up bounds for portfolio weights for portfolio
setGroupsSet up group constraints for portfolio weights
setMinMaxNumAssetsSet cardinality constraints on the number of assets invested in a portfolio
setGroupRatioSet up group ratio constraints for portfolio weights
setEqualitySet up linear equality constraints for portfolio weights
setInequalitySet up linear inequality constraints for portfolio weights
setBudgetSet up budget constraints for portfolio
setOneWayTurnoverSet up one-way portfolio turnover constraints
setTurnoverSet up maximum portfolio turnover constraint
setTrackingErrorSet up maximum portfolio tracking error constraint
estimateCustomObjectivePortfolio Estimate optimal portfolio for user-defined objective function for Portfolio object (自 R2022b 起)

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