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
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 to1
. - 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
, andMaxNumAssets
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.