AbstractPortfolio class

Abstract portfolio object for portfolio optimization and analysis

Description

The mean-variance portfolio object (see Portfolio), the conditional value-at-risk portfolio object (see PortfolioCVaR), and the mean-absolute deviation object (PortfolioMAD ) derive from the abstract class AbstractPortfolio.

Construction

There is no constructor for the abstract class. To construct a mean-variance portfolio object, see the Portfolio class, to construct a conditional value-at-risk (CVaR) portfolio object, see PortfolioCVaR, and to construct a mean-absolute deviation (MAD) portfolio object, see the PortfolioMAD class.

Properties

Name

Name for instance of the Portfolio or PortfolioCVaR object ([] or [string]).

Attributes:

SetAccesspublic
GetAccesspublic

NumAssets

Number of assets in the universe ([] or [integer scalar]).

Attributes:

SetAccesspublic
GetAccesspublic

AssetList

Names or symbols of assets in the universe ([] or [vector cell of strings]).

Attributes:

SetAccesspublic
GetAccesspublic

InitPort

Initial portfolio ([] or vector).

Attributes:

SetAccesspublic
GetAccesspublic

AInequality

Linear inequality constraint matrix ([] or [matrix]).

Attributes:

SetAccesspublic
GetAccesspublic

bInequality

Linear inequality constraint vector ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

AEquality

Linear equality constraint matrix ([] or [matrix]).

Attributes:

SetAccesspublic
GetAccesspublic

bEquality

Linear equality constraint vector ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

LowerBound

Lower-bound constraint ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

UpperBound

Upper-bound constraint ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

LowerBudget

Lower-bound budget constraint ([] or [scalar]).

Attributes:

SetAccesspublic
GetAccesspublic

UpperBudget

Upper-bound budget constraint ([] or [scalar]).

Attributes:

SetAccesspublic
GetAccesspublic

GroupMatrix

Group membership matrix ([] or [matrix]).

Attributes:

SetAccesspublic
GetAccesspublic

LowerGroup

Lower-bound group constraint ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

UpperGroup

Upper-bound group constraint ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

GroupA

Group A weights to be bounded by weights in group B ([] or [matrix]).

Attributes:

SetAccesspublic
GetAccesspublic

GroupB

Group B weights ([] or [matrix]).

Attributes:

SetAccesspublic
GetAccesspublic

LowerRatio

Minimum ratio of allocations between groups A and B ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

UpperRatio

Maximum ratio of allocations between groups A and B ([] or [vector]).

Attributes:

SetAccesspublic
GetAccesspublic

Instance Hierarchy

The AbstractPortfolio class has three subclasses, Portfolio, PortfolioCVaR, and PortfolioMAD that inherit properties and methods from theAbstractPortfolio class.

Attributes

Abstracttrue

To learn about attributes of classes, see Class Attributes in the MATLAB® Object-Oriented Programming documentation.

Copy Semantics

Value. To learn how value classes affect copy operations, see Copying Objects in the MATLAB documentation.

Alternatives

You can perform portfolio optimization using a collection of special-purpose functions in Financial Toolbox™. For more information, see Portfolio Optimization Functions.

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