Financial Toolbox™

holdings2weights - Portfolio holdings into weights

Syntax

Weights = holdings2weights(Holdings, Prices, Budget)

Arguments

`Holdings`	Number of portfolios (`NPORTS`) by number of assets (`NASSETS`) matrix with the holdings of `NPORTS` portfolios containing `NASSETS` assets.
`Prices`	`NASSETS` vector of asset prices.
`Budget`	(Optional) Scalar or `NPORTS` vector of nonzero budget constraints. Default = `1`.

Description

Weights = holdings2weights(Holdings, Prices, Budget) converts portfolio holdings into portfolio weights. The weights must satisfy a budget constraint such that the weights sum to Budget for each portfolio.

Weights is a NPORTS by NASSETS matrix containing the normalized weights of NPORTS portfolios containing NASSETS assets.

Notes

Holdings may be negative to indicate a short position, but the overall portfolio weights must satisfy a nonzero budget constraint.
The weights in each portfolio sum to the Budget value (which is 1 if Budget is unspecified.)

holdings2weights - Portfolio holdings into weights

Syntax

Arguments

Description

See Also