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setDefaultConstraints

Set up portfolio constraints with nonnegative weights that sum to 1

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Syntax

obj = setDefaultConstraints(obj)
obj = setDefaultConstraints(obj,NumAssets)

Description

obj = setDefaultConstraints(obj) sets up portfolio constraints with nonnegative weights that sum to 1 for Portfolio, PortfolioCVaR, or PortfolioMAD objects. For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

example

obj = setDefaultConstraints(obj,NumAssets) sets up portfolio constraints with nonnegative weights that sum to 1 with an additional option for NumAssets.

A "default" portfolio set has LowerBound = 0 and LowerBudget = UpperBudget = 1 such that a portfolio Port must satisfy sum(Port) = 1 with Port >= 0.

example

Examples

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Open Live Script

Assuming you have 20 assets, you can define the "default" portfolio set. 

p = Portfolio('NumAssets', 20);
p = setDefaultConstraints(p);
disp(p);
  Portfolio with properties:

                       BuyCost: []
                      SellCost: []
                  RiskFreeRate: []
                     AssetMean: []
                    AssetCovar: []
                 TrackingError: []
                  TrackingPort: []
                      Turnover: []
                   BuyTurnover: []
                  SellTurnover: []
                          Name: []
                     NumAssets: 20
                     AssetList: []
                      InitPort: []
                   AInequality: []
                   bInequality: []
                     AEquality: []
                     bEquality: []
                    LowerBound: [20x1 double]
                    UpperBound: []
                   LowerBudget: 1
                   UpperBudget: 1
                   GroupMatrix: []
                    LowerGroup: []
                    UpperGroup: []
                        GroupA: []
                        GroupB: []
                    LowerRatio: []
                    UpperRatio: []
                  MinNumAssets: []
                  MaxNumAssets: []
    ConditionalBudgetThreshold: []
        ConditionalUpperBudget: []
                     BoundType: [20x1 categorical]
Open Live Script

Assuming you have 20 assets, you can define the "default" portfolio set. 

p = PortfolioCVaR('NumAssets', 20);
p = setDefaultConstraints(p);
disp(p);
  PortfolioCVaR with properties:

                       BuyCost: []
                      SellCost: []
                  RiskFreeRate: []
              ProbabilityLevel: []
                      Turnover: []
                   BuyTurnover: []
                  SellTurnover: []
                  NumScenarios: []
                          Name: []
                     NumAssets: 20
                     AssetList: []
                      InitPort: []
                   AInequality: []
                   bInequality: []
                     AEquality: []
                     bEquality: []
                    LowerBound: [20x1 double]
                    UpperBound: []
                   LowerBudget: 1
                   UpperBudget: 1
                   GroupMatrix: []
                    LowerGroup: []
                    UpperGroup: []
                        GroupA: []
                        GroupB: []
                    LowerRatio: []
                    UpperRatio: []
                  MinNumAssets: []
                  MaxNumAssets: []
    ConditionalBudgetThreshold: []
        ConditionalUpperBudget: []
                     BoundType: [20x1 categorical]
Open Live Script

Assuming you have 20 assets, you can define the "default" portfolio set. 

p = PortfolioMAD('NumAssets', 20);
p = setDefaultConstraints(p);
disp(p);
  PortfolioMAD with properties:

                       BuyCost: []
                      SellCost: []
                  RiskFreeRate: []
                      Turnover: []
                   BuyTurnover: []
                  SellTurnover: []
                  NumScenarios: []
                          Name: []
                     NumAssets: 20
                     AssetList: []
                      InitPort: []
                   AInequality: []
                   bInequality: []
                     AEquality: []
                     bEquality: []
                    LowerBound: [20x1 double]
                    UpperBound: []
                   LowerBudget: 1
                   UpperBudget: 1
                   GroupMatrix: []
                    LowerGroup: []
                    UpperGroup: []
                        GroupA: []
                        GroupB: []
                    LowerRatio: []
                    UpperRatio: []
                  MinNumAssets: []
                  MaxNumAssets: []
    ConditionalBudgetThreshold: []
        ConditionalUpperBudget: []
                     BoundType: [20x1 categorical]

Input Arguments

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Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Data Types: object

Number of assets in portfolio, specified as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Note

NumAssets cannot be used to change the dimension of a portfolio object. The default for NumAssets is 1.

Data Types: double

Output Arguments

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Updated portfolio object, returned as a Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Tips

  • You can also use dot notation to set up the default portfolio set.

    obj = obj.setDefaultConstraints(NumAssets);

  • This function does not modify any existing constraints in a portfolio object other than the bound and budget constraints. If an UpperBound constraint exists, it is cleared and set to [].

Version History

Introduced in R2011a

See Also

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