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# pcpval

Linear inequalities for fixing total portfolio value

## Syntax

```[A,b] = pcpval(PortValue, NumAssets)
```

## Arguments

 PortValue Scalar total value of asset portfolio (sum of the allocations in all assets). PortValue = 1 specifies weights as fractions of the portfolio and return and risk numbers as rates instead of value. NumAssets Number of available asset investments.

## Description

[A,b] = pcpval(PortValue, NumAssets) scales the total value of a portfolio of NumAssets assets to PortValue. All portfolio weights, bounds, return, and risk values except ExpReturn and ExpCovariance (see portopt) are in terms of PortValue.

A is a matrix and b a vector such that A*PortWts' <= b, where PortWts is a 1-by-NASSETS vector of asset allocations.

If pcpval is called with fewer than two output arguments, the function returns A concatenated with b [A,b].

## Examples

Scale the value of a portfolio of three assets = 1, so all return values are rates and all weight values are in fractions of the portfolio.

```PortValue = 1;
NumAssets = 3;

[A,b] = pcpval(PortValue, NumAssets)```
```A =

1     1     1
-1    -1    -1

b =

1
-1
```

Portfolio weights of 40%, 10%, and 50% in the three assets satisfy the constraints.