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Specify Portfolio Constraints

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

Classes

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Functions

addEquality Add linear equality constraints for portfolio weights to existing constraints
addGroupRatio Add group ratio constraints for portfolio weights to existing group ratio constraints
addGroups Add group constraints for portfolio weights to existing group constraints
addInequality Add linear inequality constraints for portfolio weights to existing constraints
getBounds Obtain bounds for portfolio weights from Portfolio object
getBudget Obtain budget constraint bounds from Portfolio object
getCosts Obtain buy and sell transaction costs from Portfolio object
getEquality Obtain equality constraint arrays from Portfolio object
getGroupRatio Obtain group ratio constraint arrays from Portfolio object
getGroups Obtain group constraint arrays from Portfolio object
getInequality Obtain inequality constraint arrays from Portfolio object
getOneWayTurnover Obtain one-way turnover constraints from Portfolio object
setGroups Set up group constraints for portfolio weights
setInequality Set up linear inequality constraints for portfolio weights
setBounds Set up bounds for portfolio weights
setBudget Set up budget constraints
setCosts Set up proportional transaction costs
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1
setEquality Set up linear equality constraints for portfolio weights
setGroupRatio Set up group ratio constraints for portfolio weights
setInitPort Set up initial or current portfolio
setOneWayTurnover Set up one-way portfolio turnover constraints
setTurnover Set up maximum portfolio turnover constraint
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