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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

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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addEqualityAdd linear equality constraints for portfolio weights to existing constraints
addGroupRatioAdd group ratio constraints for portfolio weights to existing group ratio constraints
addGroupsAdd group constraints for portfolio weights to existing group constraints
addInequalityAdd linear inequality constraints for portfolio weights to existing constraints
getBoundsObtain bounds for portfolio weights from portfolio object
getBudgetObtain budget constraint bounds from portfolio object
getCostsObtain buy and sell transaction costs from portfolio object
getEqualityObtain equality constraint arrays from portfolio object
getGroupRatioObtain group ratio constraint arrays from portfolio object
getGroupsObtain group constraint arrays from portfolio object
getInequalityObtain inequality constraint arrays from portfolio object
getOneWayTurnoverObtain one-way turnover constraints from portfolio object
setGroupsSet up group constraints for portfolio weights
setInequalitySet up linear inequality constraints for portfolio weights
setBoundsSet up bounds for portfolio weights for portfolio
setBudgetSet up budget constraints for portfolio
setCostsSet 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
setEqualitySet up linear equality constraints for portfolio weights
setGroupRatioSet up group ratio constraints for portfolio weights
setInitPortSet up initial or current portfolio
setOneWayTurnoverSet up one-way portfolio turnover constraints
setTurnoverSet up maximum portfolio turnover constraint
setTrackingPortSet up benchmark portfolio for tracking error constraint
setTrackingErrorSet up maximum portfolio tracking error constraint
setMinMaxNumAssetsSet cardinality constraints on the number of assets invested in a portfolio

示例和操作指南

指定约束

使用约束

概念