| Financial Toolbox™ | |
Linear inequalities for asset group minimum and maximum allocation
[A,b] = pcglims(Groups, GroupMin, GroupMax)
Groups | Number of groups (NGROUPS) by number of assets (NASSETS) specification of which assets belong to which group. Each row specifies a group. For a specific group, Group(i,j) = 1 if the group contains asset j; otherwise, Group(i,j) = 0. |
GroupMin GroupMax | Scalar or NGROUPS-long vectors of minimum and maximum combined allocations in each group. NaN indicates no constraint. Scalar bounds are applied to all groups. |
[A,b] = pcglims(Groups, GroupMin, GroupMax) specifies minimum and maximum allocations to groups of assets. An arbitrary number of groups, NGROUPS, comprising subsets of NASSETS investments, is allowed.
A is a matrix and b a vector such that A*PortWts' <= b, where PortWts is a 1-by-NASSETS vector of asset allocations.
If pcglims is called with fewer than two output arguments, the function returns A concatenated with b [A,b].
Asset | INTC | XOM | RD |
Region | North America | North America | Europe |
Sector | Technology | Energy | Energy |
Group | Min. Exposure | Max. Exposure |
|---|---|---|
North America | 0.30 | 0.75 |
Europe | 0.10 | 0.55 |
Technology | 0.20 | 0.50 |
Energy | 0.50 | 0.50 |
Set the minimum and maximum investment in various groups.
% INTC XOM RD
Groups = [ 1 1 0 ; % North America
0 0 1 ; % Europe
1 0 0 ; % Technology
0 1 1 ]; % Energy
GroupMin = [0.30
0.10
0.20
0.50];
GroupMax = [0.75
0.55
0.50
0.50];
[A,b] = pcglims(Groups, GroupMin, GroupMax)
A =
-1 -1 0
0 0 -1
-1 0 0
0 -1 -1
1 1 0
0 0 1
1 0 0
0 1 1
b =
-0.3000
-0.1000
-0.2000
-0.5000
0.7500
0.5500
0.5000
0.5000
Portfolio weights of 50% in INTC, 25% in XOM, and 25% in RD satisfy the constraints.
pcalims, pcgcomp, pcpval, portcons, portopt
| pcgcomp | pcpval | |
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