setDefaultConstraints.

建立具有非负权值和为1的投资组合约束

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语法

obj = setDefaultConstraints (obj)

obj = setDefaultConstraints (obj NumAssets)

描述

obj= setDefaultConstraints (obj）建立具有非负权值的投资组合约束，其和为1投资组合，PortfolioCVaR,或PortfolioMAD对象。有关使用这些不同对象时各自工作流程的详细信息，请参见投资组合对象工作流程，portfoliocvar对象工作流程，和PortfolioMAD对象的工作流．

例子

obj= setDefaultConstraints (obj，NumAssets）使用其他选项设置与非负权重的投资组合约束NumAssets．

一个“默认”投资组合集下界＝0和LowerBudget＝upperBudget.＝1这样一个投资组合港口必须满足总和(端口)= 1与端口> = 0．

例子

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为投资组合对象定义默认约束

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假设您有20个资产，您可以定义“默认”产品组合集。

p = portfolio（“NumAssets”, 20);p = setDefaultConstraints (p);disp (p);

具有属性的投资组合:BuyCost: [] SellCost: [] RiskFreeRate: [] AssetMean: [] AssetCovar: [] TrackingError: [] TrackingPort: [] Turnover: [] BuyTurnover: [] SellTurnover: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] AInequality: [] bInequality: [] AEquality: [] bEquality: [] LowerBound: [20x1 double] UpperBound: [] LowerBudget:1 UpperBudget: 1 GroupMatrix: [] LowerGroup: [] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] MinNumAssets: [] MaxNumAssets: [] BoundType: [20x1 category]

定义portfolio var对象的默认约束

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假设您有20个资产，您可以定义“默认”产品组合集。

p = PortfolioCVaR (“NumAssets”, 20);p = setDefaultConstraints (p);disp (p);

portfolio var with properties: BuyCost: [] SellCost: [] RiskFreeRate: [] ProbabilityLevel: [] Turnover: [] BuyTurnover: [] SellTurnover: [] numscenario: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] AInequality: [] bInequality: [] AEquality: [] bEquality: [] LowerBound: [20x1 double] UpperBound: [] LowerBudget: 1 UpperBudget:1 GroupMatrix: [] LowerGroup: [] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] MinNumAssets: [] MaxNumAssets: [] BoundType: [20x1 category]

定义PortfolioMAD对象的默认约束

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假设您有20个资产，您可以定义“默认”产品组合集。

p = portfoliomad（“NumAssets”, 20);p = setDefaultConstraints (p);disp (p);

portfolio with properties: BuyCost: [] SellCost: [] RiskFreeRate: [] Turnover: [] BuyTurnover: [] SellTurnover: [] numscenario: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] ainequal: [] b不等式:[]AEquality: [] bEquality: [] LowerBound: [20x1 double] UpperBound: [] LowerBudget: 1 UpperBudget: 1 GroupMatrix: [] LowerGroup:[] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] MinNumAssets: [] MaxNumAssets: [] BoundType: [20x1 category]