Documentation Center

  • Trial Software
  • Product Updates

setBudget

Class: Portfolio

Set up budget constraints

Syntax

obj = setBudget(obj,LowerBudget)
obj = setBudget(obj,LowerBudget,UpperBudget)

Description

obj = setBudget(obj,LowerBudget) sets up the lower budget constraint.

obj = setBudget(obj,LowerBudget,UpperBudget) sets up budget constraints with an additional option for UpperBudget.

Tips

Use dot notation to set up the budget constraints.

obj = obj.setBudget(LowerBudget, UpperBudget);

Input Arguments

obj

Portfolio object [Portfolio].

LowerBudget

Lower-bound for budget constraint [scalar].

UpperBudget

(Optional) Upper-bound for budget constraint [scalar].

    Note:   Given bounds for a budget constraints in either LowerBudget or UpperBudget, budget constraints require any portfolio in Port to satisfy:

    LowerBudget <= sum(Port) <= UpperBudget

    One or both constraints may be specified. The usual budget constraint for a fully-invested portfolio is to have LowerBudget = UpperBudget = 1. However, if the portfolio has allocations in cash, the budget constraints can be used to specify the cash constraints. For example, if the portfolio can hold between 0% and 10% in cash, the budget constraint would be set up with

    obj = obj.setBudget(0.9, 1)

Output Arguments

obj

Updated Portfolio object [Portfolio].

Attributes

Accesspublic
Staticfalse
Hiddenfalse

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

Examples

expand all

Set Budget Constraint

Assume you have a fund that permits up to 10% leverage, which means that your portfolio can be from 100% to 110% invested in risky assets. Given a Portfolio object p, set the budget constraint.

p = Portfolio;
p = p.setBudget(1, 1.1);
disp(p.LowerBudget);
disp(p.UpperBudget);
     1

    1.1000

See Also

|

More About

Was this topic helpful?