Is it possible to specify per-asset turnover constraints for Portfolio objects in the Financial Toolbox?
1 view (last 30 days)
Show older comments
I would like to know if it's possible to specify instrument by instrument turnover constraints rather than a portfolio aggregate turnover constraint when using Portfolio objects.
Accepted Answer
MathWorks Support Team
on 23 Dec 2011
In R2012a, there is no direct way of specifying per-asset turnover constraints using the 'Turnover' property of the Portfolio object or using the setTurnover method. As you have already noticed, these are intended for average turnover constraints.
However, you could use the individual upper and lower bounds on the portfolio weights to set per-asset limits. For example, if you want asset i to stay within 5% of the current level, set LowerBound(i) = 0.95*InitPortfolio(i), UpperBound(i) = 1.05*InitPortfolio(i).
0 Comments
More Answers (0)
See Also
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!