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How to limit the stocks in a portfolio from a larger population?

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Gideon Maasz
Gideon Maasz 2017-11-11
关闭： MATLAB Answer Bot 2021-8-20
I currently have a problem using the functions in MATLAB for using investment portfolios. I have a population of 143 stocks but want to limit the amount put into my portfolio at the end of the day to 10. It is currently not bound. I do not know how to assign such a constraint to a portfolio object. Any help please? =)
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Gideon Maasz
Gideon Maasz 2017-11-11
MATLAB code
%Determine returns, covar, risk
R_Bar = mean(StockDataArray);
sigma = std(StockDataArray,1);
Correlation = corrcoef(StockDataArray);
Covariance = corr2cov(sigma,Correlation);
%Draw efficient frontier portopt(R_Bar,Covariance,100)
%Set portfolio data %Calculate necessary portfolio data p = Portfolio; p = setAssetList(p, AssetList); p = Portfolio('assetmean', R_Bar, 'assetcovar', Covariance, 'RiskfreeRate', 0.08/252, ... 'NumAssets',TotalStocks); p=estimateAssetMoments(p,StockDataArray); p = setDefaultConstraints(p); p = setAssetList(p);
%Display Weights Weights = estimateMaxSharpeRatio(p);
%Daily Risk and Returns [risk1,ret1] = estimatePortMoments(p,Weights);

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