Documentation

Specify Portfolio Constraints

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

Classes

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

Functions

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