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 Portfolio 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

Portfolio 创建 Portfolio 对象以进行均值-方差投资组合优化和分析

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
`setTrackingPort`	Set up benchmark portfolio for tracking error constraint
`setTrackingError`	Set up maximum portfolio tracking error constraint
`setMinMaxNumAssets`	Set cardinality constraints on the number of assets invested in a portfolio

主题

指定约束

Working with 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 Portfolio Object
'Simple' bound constraints are optional linear constraints that maintain upper and lower bounds on portfolio weights.
Working with Budget Constraints Using Portfolio 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 Portfolio Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.
Working with Group Ratio Constraints Using Portfolio Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets.
Working with Linear Equality Constraints Using Portfolio Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.
Working with Linear Inequality Constraints Using Portfolio Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights.
Working with Average Turnover Constraints Using Portfolio 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 Portfolio Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales.
Working with Tracking Error Constraints Using Portfolio Object
Tracking error constraints are optional constraints that measure the risk relative to a portfolio called a tracking portfolio.
Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects
Using 'Conditional' BoundType, MinNumAssets, and MaxNumAssets constraints with portfolio objects.

使用约束

Constraint Specification Using a Portfolio Object
This example computes the efficient frontier of portfolios consisting of three different assets, INTC, XON, and RD, given a list of constraints.
Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.
使用 Financial Toolbox 的投资组合优化示例
通过一组示例来了解 Portfolio 对象的主要功能。具体来说，这些示例使用 Portfolio 对象来展示如何设置重点关注两基金分离定理、交易成本和换手率约束影响的均值-方差投资组合优化问题，如何获取最大化夏普比率的投资组合，以及如何建立两种流行的对冲基金策略（美元中性和 130/30 投资组合）。
Portfolio Analysis with Turnover Constraints
This example shows how to analyze the characteristics of a portfolio of equities, and then compare them with the efficient frontier.
Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the setBudget function for the Portfolio class to define the limits on the sum(AssetWeight_i) in risky assets.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with the Portfolio class in Financial Toolbox™.
Portfolio Optimization Using Social Performance Measure
Use a Portfolio object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.

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 Portfolio Objects
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.
Portfolio 对象工作流
用于创建和建模均值-方差投资组合的 Portfolio 对象工作流。
Setting Up a Tracking Portfolio
The Portfolio object property TrackingPort lets you identify a tracking 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.

指定投资组合约束

对象

函数

添加投资组合参数

显示投资组合参数

设置投资组合参数

主题

指定约束

使用约束

投资组合理论

相关信息

WeChat