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getOneWayTurnover

Obtain one-way turnover constraints from portfolio object

Use the getOneWayTirnover function with a Portfolio, PortfolioCVaR, or PortfolioMAD object to obtain one-way turnover constraints from portfolio objects.

For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

Syntax

[BuyTurnover,SellTurnover] = getOneWayTurnover(obj)

Description

example

[BuyTurnover,SellTurnover] = getOneWayTurnover(obj) obtain one-way turnover constraints from portfolio objects.

Examples

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Set one-way turnover costs.

p = Portfolio('AssetMean',[0.1, 0.2, 0.15], 'AssetCovar',...
[ 0.005, -0.010,  0.004; -0.010,  0.040, -0.002;  0.004, -0.002,  0.023]);
p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0);    %130-30 portfolio
plotFrontier(p);

Obtain one-way turnover costs.

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)
BuyTurnover = 1.3000
SellTurnover = 0.3000

Set one-way turnover costs and obtain the buy and sell turnover values.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);

p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0); %130-30 portfolio

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)
BuyTurnover = 1.3000
SellTurnover = 0.3000

Set one-way turnover costs and obtain the buy and sell turnover values.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioMAD;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);

p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0); %130-30 portfolio

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)
BuyTurnover = 1.3000
SellTurnover = 0.3000

Input Arguments

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Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Output Arguments

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Turnover constraint on purchases, returned as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Turnover constraint on sales, returned as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

More About

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One-way Turnover Constraint

One-way turnover constraints ensure that estimated optimal portfolios differ from an initial portfolio by no more than specified amounts according to whether the differences are purchases or sales.

The constraints take the form

1Tmax{0,xx0}τB

1Tmax{0,x0x}τS

with

  • x — The portfolio (NumAssets vector)

  • x0 — Initial portfolio (NumAssets vector)

  • τB — Upper-bound for turnover constraint on purchases (scalar)

  • τS — Upper-bound for turnover constraint on sales (scalar)

Specify one-way turnover constraints using the following properties in a supported portfolio object: BuyTurnover for τB, SellTurnover for τS, and InitPort for x0.

Note

The average turnover constraint (which is set using setTurnover) is not just the combination of the one-way turnover constraints with the same value for the constraint.

Tips

You can also use dot notation to get the one-way turnover constraint for portfolio objects.

[BuyTurnover,SellTurnover] = obj.getOneWayTurnover

Introduced in R2011a

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