一个投资组合优化问题的完整规范的最后一个要素是可行投资组合的集合,称为投资组合集。一套组合 通过构造指定为由组合权重约束集合形成的集合的交集。一个组合集必须并且充分地必须是一个非空的、封闭的、有界的集合。
当建立你的投资组合时,确保投资组合满足这些条件。最基本的或“默认”的投资组合集要求投资组合权重是非负的(使用下界约束),并相加为1
(使用预算限制)。有关使用时工作流的信息投资组合
对象,看到组合对象的工作流.
“默认”投资组合问题对投资组合权重有两个约束:
投资组合权重必须是非负的。
投资组合权重总和必须为1
.
含蓄地说,这些约束意味着投资组合的权重不大于1
,尽管这是强加在问题上的多余约束。
给定一个投资组合优化问题NumAssets
=20.
资产,使用投资组合
对象设置默认问题并显式设置边界和预算约束:
p =组合(“NumAssets”, 20岁,下界的0,“预算”1);disp (p)
具有属性的投资组合:BuyCost: [] SellCost: [] RiskFreeRate: [] AssetMean: [] AssetCovar: [] TrackingError: [] TrackingPort: [] Turnover: [] BuyTurnover: [] SellTurnover: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] AInequality: [] bInequality: [] AEquality: [] bEquality: [] LowerBound: [20×1 double] UpperBound: [] LowerBudget:1 UpperBudget: 1 GroupMatrix: [] LowerGroup: [] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] BoundType: [] MinNumAssets: [] MaxNumAssets: []
setDefaultConstraints
函数另一种方法是使用setDefaultConstraints
函数。如果在a中已经知道资产的数量投资组合
对象,使用setDefaultConstraints
没有参数设置必要的约束和预算约束。假设你有20种资产来为一个违约问题建立投资组合:
p =组合(“NumAssets”, 20);p = setDefaultConstraints (p);disp (p)
具有属性的投资组合:BuyCost: [] SellCost: [] RiskFreeRate: [] AssetMean: [] AssetCovar: [] TrackingError: [] TrackingPort: [] Turnover: [] BuyTurnover: [] SellTurnover: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] AInequality: [] bInequality: [] AEquality: [] bEquality: [] LowerBound: [20×1 double] UpperBound: [] LowerBudget:1 UpperBudget: 1 GroupMatrix: [] LowerGroup: [] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] BoundType: [0×0 category] MinNumAssets: [] MaxNumAssets: []
如果资产数量未知,setDefaultConstraints
接受NumAssets
作为一个可选的参数,以形成一个投资组合的默认问题。假设你有20种资产:
p =投资组合;p = setDefaultConstraints(p, 20);disp (p)
具有属性的投资组合:BuyCost: [] SellCost: [] RiskFreeRate: [] AssetMean: [] AssetCovar: [] TrackingError: [] TrackingPort: [] Turnover: [] BuyTurnover: [] SellTurnover: [] Name: [] NumAssets: 20 AssetList: [] InitPort: [] AInequality: [] bInequality: [] AEquality: [] bEquality: [] LowerBound: [20×1 double] UpperBound: [] LowerBudget:1 UpperBudget: 1 GroupMatrix: [] LowerGroup: [] UpperGroup: [] GroupA: [] GroupB: [] LowerRatio: [] UpperRatio: [] BoundType: [0×0 category] MinNumAssets: [] MaxNumAssets: []
投资组合
|setDefaultConstraints
|setBounds
|setBudget
|setGroups
|setGroupRatio
|setEquality
|setInequality
|setTurnover
|setOneWayTurnover
|setTrackingPort
|setTrackingError