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holdings2weights

Portfolio holdings into weights

Syntax

Weights = holdings2weights(Holdings, Prices, Budget)

Arguments

Holdings

Number of portfolios (NPORTS) by number of assets (NASSETS) matrix with the holdings of NPORTS portfolios containing NASSETS assets.

Prices

NASSETS vector of asset prices.

Budget

(Optional) Scalar or NPORTS vector of nonzero budget constraints. Default = 1.

Description

Weights = holdings2weights(Holdings, Prices, Budget) converts portfolio holdings into portfolio weights. The weights must satisfy a budget constraint such that the weights sum to Budget for each portfolio.

Weights is a NPORTS by NASSETS matrix containing the normalized weights of NPORTS portfolios containing NASSETS assets.

    Notes  

    • Holdings may be negative to indicate a short position, but the overall portfolio weights must satisfy a nonzero budget constraint.

    • The weights in each portfolio sum to the Budget value (which is 1 if Budget is unspecified.)

See Also

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