Specify Portfolio Constraints

Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints

Objects

PortfolioCVaR Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

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Add Portfolio Parameters

`addEquality`	为产物权重添加线性平等约束对现有约束
`addGroupRatio`	Add group ratio constraints for portfolio weights to existing group ratio constraints
`addGroups`	将组合权重添加到现有组约束的组约束
`酸味`	Add linear inequality constraints for portfolio weights to existing constraints

显示产品组合参数

`getBounds`	Obtain bounds for portfolio weights from portfolio object
`getBudget`	Obtain budget constraint bounds from portfolio object
`getCosts`	从投资组合对象获得购买和销售交易成本
`getEquality`	从投资组合对象获得平等约束阵列
`getGroupRatio`	从投资组合对象获取组比率约束阵列
`GetGroups.`	Obtain group constraint arrays from portfolio object
`getInequality`	Obtain inequality constraint arrays from portfolio object
`getOneWayTurnover`	从投资组合对象获取单向营业额约束

Set Portfolio Parameters

`setGroups`	Set up group constraints for portfolio weights
`setinequality.`	为产品组合重量设置线性不等式约束
`setBounds`	为投资组合对象设置投资组合权重的界限
`setBudget`	设置预算约束
`setcosts.`	Set up proportional transaction costs
`setDefaultConstraints.`	Set up portfolio constraints with nonnegative weights that sum to 1
`setEquality`	为产品组合重量设置线性平等约束
`setGroupRatio`	为产品组合重量设置组比率约束
`setInitPort`	Set up initial or current portfolio
`setOneWayTurnover`	设置单向产品组合周转约束
`成立`	设置最大投资组合周转约束
`setminmaxnumassets.`	Set cardinality constraints on the number of assets invested in a portfolio object

例子和如何

使用默认值使用CVAR产品组合约束

The most basic or “default” portfolio set requires portfolio weights to be nonnegative and to sum to1.

Working with 'Simple' Bound Constraints Using PortfolioCVaR Object

'简单的'绑定约束是可选的线性约束，可在产品组合权重上维护上限和下限。

使用portfoliocvar对象使用预算约束

The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights.

Working with Group Constraints Using PortfolioCVaR Object

Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.

使用portfoliocvar对象使用组比率约束

组比率约束是可选的线性约束，可维护资产组中比例关系的界限。

Working with Linear Equality Constraints Using PortfolioCVaR Object

Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.

Working with Linear Inequality Constraints Using PortfolioCVaR Object

线性不等式约束是可选的线性约束，其施加在组合重量上的不等式系统。

使用portfoliocvar对象使用平均转换约束

The turnover constraint is an optional linear absolute value constraint that enforces an upper bound on the average of purchases and sales.

Working with One-Way Turnover Constraints Using PortfolioCVaR Object

单向营业额限制是可选的约束，以强制净购物或净销售上的上限。

使用portfoliocvar对象与“有条件”的横置型，minnumassets和maxnumassets约束合作

Using'Conditional'BoundType,MinNumAssets，和MaxNumAssetsconstraints with PortfolioCVaR objects.

Concepts

Portfolio Set for Optimization Using PortfolioCVaR Object

The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.

Default Portfolio Problem

The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to1.

portfoliocvar对象工作流程

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.

When to Use Portfolio Objects Over Optimization Toolbox

The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.