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How to limit the stocks in a portfolio from a larger population?

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Gideon Maasz
Gideon Maasz am 11 Nov. 2017
Geschlossen: MATLAB Answer Bot am 20 Aug. 2021
I currently have a problem using the functions in MATLAB for using investment portfolios. I have a population of 143 stocks but want to limit the amount put into my portfolio at the end of the day to 10. It is currently not bound. I do not know how to assign such a constraint to a portfolio object. Any help please? =)
  2 Kommentare
Kaushik Lakshminarasimhan
Kaushik Lakshminarasimhan am 11 Nov. 2017
There is no generic answer to your question. Please share your code.
Gideon Maasz
Gideon Maasz am 11 Nov. 2017
MATLAB code
%Determine returns, covar, risk
R_Bar = mean(StockDataArray);
sigma = std(StockDataArray,1);
Correlation = corrcoef(StockDataArray);
Covariance = corr2cov(sigma,Correlation);
%Draw efficient frontier portopt(R_Bar,Covariance,100)
%Set portfolio data %Calculate necessary portfolio data p = Portfolio; p = setAssetList(p, AssetList); p = Portfolio('assetmean', R_Bar, 'assetcovar', Covariance, 'RiskfreeRate', 0.08/252, ... 'NumAssets',TotalStocks); p=estimateAssetMoments(p,StockDataArray); p = setDefaultConstraints(p); p = setAssetList(p);
%Display Weights Weights = estimateMaxSharpeRatio(p);
%Daily Risk and Returns [risk1,ret1] = estimatePortMoments(p,Weights);

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