Setting 'Simple' Bounds Using the PortfolioMAD Function

The properties for bound constraints are set through the PortfolioMAD object. Suppose that you have a balanced fund with stocks that can range from 50% to 75% of your portfolio and bonds that can range from 25% to 50% of your portfolio. The bound constraints for a balanced fund are set with:

lb = [ 0.5; 0.25 ];
ub = [ 0.75; 0.5 ];
p = PortfolioMAD('LowerBound', lb, 'UpperBound', ub, 'BoundType', 'Simple');
disp(p.NumAssets)
disp(p.LowerBound)
disp(p.UpperBound)

 2

 0.5000
 0.2500

 0.7500
 0.5000

To continue with this example, you must set up a budget constraint. For details, see Working with Budget Constraints Using Portfolio Object.

Setting 'Simple' Bounds Using the setBounds Function

You can also set the properties for bound constraints using setBounds. Suppose that you have a balanced fund with stocks that can range from 50% to 75% of your portfolio and bonds that can range from 25% to 50% of your portfolio. Given a PortfolioMAD object p, use setBounds to set the bound constraints:

lb = [ 0.5; 0.25 ];
ub = [ 0.75; 0.5 ];
p = PortfolioMAD;
p = setBounds(p, lb, ub,'BoundType', 'Simple');
disp(p.NumAssets)
disp(p.LowerBound)
disp(p.UpperBound)

  2

  0.5000
  0.2500

  0.7500
  0.5000

Setting 'Simple' Bounds Using the PortfolioMAD Function or setBounds Function

Both the PortfolioMAD object and setBounds function implement scalar expansion on either the LowerBound or UpperBound properties. If the NumAssets property is already set in the PortfolioMAD object, scalar arguments for either property expand to have the same value across all dimensions. In addition, setBounds lets you specify NumAssets as an optional argument. Suppose that you have a universe of 500 assets and you want to set common bound constraints on all assets in your universe. Specifically, you are a long-only investor and want to hold no more than 5% of your portfolio in any single asset. You can set these bound constraints in any of these equivalent ways:

p = PortfolioMAD('NumAssets', 500, 'LowerBound', 0, 'UpperBound', 0.05,'BoundType', 'Simple');

or

p = PortfolioMAD('NumAssets', 500);
p = setBounds(p, 0, 0.05,'BoundType','Simple');

or

p = PortfolioMAD;
p = setBounds(p, 0, 0.05,'NumAssets', 500,'BoundType','Simple');

To clear bound constraints from your PortfolioMAD object, use either the PortfolioMAD object or setBounds with empty inputs for the properties to be cleared. For example, to clear the upper-bound constraint from the PortfolioMAD object p in the previous example:

p = PortfolioMAD(p, 'UpperBound', []);