Financial Toolbox™

pcpval - Linear inequalities for fixing total portfolio value

Syntax

[A,b] = pcpval(PortValue, NumAssets)

Arguments

Description

[A,b] = pcpval(PortValue, NumAssets) scales the total value of a portfolio of NumAssets assets to PortValue. All portfolio weights, bounds, return, and risk values except ExpReturn and ExpCovariance (see portopt) are in terms of PortValue.

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

Examples

Scale the value of a portfolio of three assets = 1, so all return values are rates and all weight values are in fractions of the portfolio.

PortValue = 1;
NumAssets = 3;

[A,b] = pcpval(PortValue, NumAssets)

A =

     1     1     1
    -1    -1    -1

b =

    1
   -1

Portfolio weights of 40%, 10%, and 50% in the three assets satisfy the constraints.

See Also

pcalims, pcgcomp, pcglims, portcons, portopt

pcglims

peravg