Convert constraints from active to absolute format
AbsConSet = active2abs(ActiveConSet, Index)
 Portfolio linear inequality constraint matrix expressed
in active weight format. See the output 


AbsConSet = active2abs(ActiveConSet, Index)
transforms
a constraint matrix to an equivalent matrix expressed in absolute
weight format. The transformation equation is
$$A{w}_{active}=A\left({w}_{absolute}{w}_{index}\right)\le {b}_{active}.$$
Therefore
$$A{w}_{absolute}\le {b}_{active}+A{w}_{index}={b}_{absolute}.$$
The initial constraint matrix consists of NCONSTRAINTS
portfolio
linear inequality constraints expressed in active weight format (relative
to the index portfolio). The index portfolio vector contains NASSETS
assets.
AbsConSet
is the transformed portfolio linear
inequality constraint matrix expressed in absolute weight format,
also of the form [A b]
such that A*w <= b
. The value w
represents
a vector of active asset weights (relative to the index portfolio)
whose elements sum to the total portfolio value.