指定投资组合约束

定义投资组合资产的约束，例如线性等式和不等式、边界、预算、分组、分组比率和周转约束

在使用 PortfolioCVaR 对象的情况下，使用函数来定义投资组合资产的约束，例如线性等式和不等式、边界、预算、分组、分组比率和换手率约束。

对象

PortfolioCVaR Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

函数

添加投资组合参数

`addEquality`	Add linear equality constraints for portfolio weights to existing constraints
`addGroupRatio`	Add group ratio constraints for portfolio weights to existing group ratio constraints
`addGroups`	Add group constraints for portfolio weights to existing group constraints
`addInequality`	Add linear inequality constraints for portfolio weights to existing constraints

显示投资组合参数

`getBounds`	Obtain bounds for portfolio weights from portfolio object
`getBudget`	Obtain budget constraint bounds from portfolio object
`getCosts`	Obtain buy and sell transaction costs from portfolio object
`getEquality`	Obtain equality constraint arrays from portfolio object
`getGroupRatio`	Obtain group ratio constraint arrays from portfolio object
`getGroups`	Obtain group constraint arrays from portfolio object
`getInequality`	Obtain inequality constraint arrays from portfolio object
`getOneWayTurnover`	Obtain one-way turnover constraints from portfolio object

设置投资组合参数

`setGroups`	Set up group constraints for portfolio weights
`setInequality`	Set up linear inequality constraints for portfolio weights
`setBounds`	Set up bounds for portfolio weights for portfolio
`setBudget`	Set up budget constraints for portfolio
`setCosts`	Set up proportional transaction costs for portfolio
`setDefaultConstraints`	使用总和为 1 的非负权重设置投资组合约束
`setEquality`	Set up linear equality constraints for portfolio weights
`setGroupRatio`	Set up group ratio constraints for portfolio weights
`setInitPort`	Set up initial or current portfolio
`setOneWayTurnover`	Set up one-way portfolio turnover constraints
`setTurnover`	Set up maximum portfolio turnover constraint
`setMinMaxNumAssets`	Set cardinality constraints on the number of assets invested in a portfolio

主题

投资组合优化

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, and MaxNumAssets constraints with PortfolioCVaR objects.

投资组合理论

投资组合优化理论
投资组合是构成资产池的资产可行集中的点。
Supported Constraints for Portfolio Optimization Using PortfolioCVaR Object
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.
默认投资组合问题
默认投资组合优化问题涉及与给定问题相关的风险收益代理，以及一个投资组合权重为非负且总和为 1 的投资组合集。
PortfolioCVaR 对象工作流
用于创建和建模条件风险值 (CVaR) 投资组合的 PortfolioCVaR 对象工作流。
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.