指定投资组合约束
对象
PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
函数
示例和操作指南
- Working with MAD 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 PortfolioMAD Object
'Simple'
bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights. - Working with Budget Constraints Using PortfolioMAD 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 PortfolioMAD Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.
- Working with Group Ratio Constraints Using PortfolioMAD Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets.
- Working with Linear Equality Constraints Using PortfolioMAD Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.
- Working with Linear Inequality Constraints Using PortfolioMAD Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights.
- Working with Average Turnover Constraints Using PortfolioMAD 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 PortfolioMAD 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 PortfolioMAD Objects
Using
'Conditional'
BoundType
,MinNumAssets
, andMaxNumAssets
constraints with PortfolioMAD objects.
概念
- Portfolio Set for Optimization Using PortfolioMAD 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。 - PortfolioMAD Object Workflow
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
- 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.