How to set BoundType Conditional to PortfolioCVar Object ?

3 次查看（过去 30 天）
Flavio
Flavio 2018-10-17
评论： Stephan 2018-10-20
How can I set the lower bounds of a PortfolioCVar object conditional to be 0 or 0.02 (for example) ? This function exists in the Portfolio object, but not in PortfolioCVar. Is there another way to do it ?

请先登录，再回答此问题。

采纳的回答

Stephan
Stephan 2018-10-19
Hi,
check setBounds which is the function to:
Set up bounds for portfolio weights for PortfolioCVaR or PortfolioMAD objects
Best regards
Stephan
  2 个评论
Flavio
Flavio 2018-10-19
Yes, I knew that, however it doesn’t have the ‘Conditional’ option as you have in the Portfolio object. Is there another way to do the same thing for the PortfilioCVaR ?
Stephan
Stephan 2018-10-20
I can not find such an option in the documentation, so that i would conclude that there is no corresponding option.

请先登录，再进行评论。

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Specify Portfolio Constraints 的更多信息

标签

产品


版本

R2018a

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by