Financial Toolbox™

pcalims - Linear inequalities for individual asset allocation

Syntax

[A,b] = pcalims(AssetMin, AssetMax, NumAssets)

Arguments

`AssetMin`	Scalar or `NASSETS` vector of minimum allocations in each asset. `NaN` indicates no constraint.
`AssetMax`	Scalar or `NASSETS` vector of maximum allocations in each asset. `NaN` indicates no constraint.
`NumAssets`	(Optional) Number of assets. Default = length of `AssetMin` or `AssetMax`.

Description

[A,b] = pcalims(AssetMin, AssetMax, NumAssets) specifies the lower and upper bounds of portfolio allocations in each of NumAssets available asset investments.

A is a matrix and b is a vector such that A*PortWts' <= b, where PortWts is a 1-by-NASSETS vector of asset allocations.

If pcalims is called with fewer than two output arguments, the function returns A concatenated with b [A,b].

Examples

Set the minimum weight in every asset to 0 (no short-selling), and set the maximum weight of IBM^® stock to 0.5 and CSCO to 0.8, while letting the maximum weight in INTC float.

Asset	IBM	INTC	CSCO
Min. Wt.	0	0	0
Max. Wt.	0.5		0.8

AssetMin = 0
AssetMax = [0.5 NaN 0.8]
[A,b] = pcalims(AssetMin, AssetMax)

A =
     1     0     0
     0     0     1
    -1     0     0
     0    -1     0
     0     0    -1

b =

    0.5000
    0.8000
         0
         0
         0

Portfolio weights of 50% in IBM and 50% in INTC satisfy the constraints.

Set the minimum weight in every asset to 0 and the maximum weight to 1.

Asset	IBM	INTC	CSCO
Min. Wt.	0	0	0
Max. Wt.	1	1	1