Hi Deepak,
You can define custom constraints using the "portcons" function by specifying the "ConstType" as "Custom". For example, I have structured a sample code with the constraints you mentioned for a portfolio of three stocks:
% Number of assets
NumAssets = 3;
% Portfolio weights and Index weights (example values)
PortWt = [0.15, 0.12, 0.08];
IndexWt = [0.10, 0.15, 0.05];
% Determine the active overweight constraint
A = zeros(1, NumAssets);
for i = 1:NumAssets
if PortWt(i) > IndexWt(i)
A(i) = 1; % Active overweight position
else
A(i) = 0;
end
end
% Maximum allowable active overweight
b = 0.3;
% Constraint set using portcons
ConSet = portcons('Custom', A, b);
Hope this helps!!
