Obtain one-way turnover constraints from Portfolio object
[BuyTurnover,SellTurnover] = getOneWayTurnover(obj)
[BuyTurnover,SellTurnover] = getOneWayTurnover(obj) obtains one-way turnover constraints from the Portfolio object.
You can also use dot notation to get the one-way turnover constraint for the Portfolio object.
[BuyTurnover,SellTurnover] = obj.getOneWayTurnover
Turnover constraint on purchases [scalar].
Turnover constraint on sales [scalar].
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
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 the 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.
To learn about attributes of methods, see Method Attributes in the MATLAB® Object-Oriented Programming documentation.
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