Accelerating the pace of engineering and science

# getOneWayTurnover

Obtain one-way turnover constraints from PortfolioMAD object

## Tips

You can also use dot notation to get the one-way turnover constraints from a PortfolioMAD object.

`[BuyTurnover,SellTurnover] = obj.getOneWayTurnover`

## Output Arguments

 BuyTurnover Turnover constraint on purchases [scalar]. SellTurnover Turnover constraint on sales [scalar].

## Definitions

### One-Way Turnover Constraint

One-way turnover constraints ensure that estimated optimal MAD 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

${1}^{T}×\mathrm{max}\left\{0,x-{x}_{0}\right\}\le {\tau }_{B}$

${1}^{T}×\mathrm{max}\left\{0,{x}_{0}-x\right\}\le {\tau }_{S}$

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 these properties in the MAD 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.

## Attributes

 Access public Static false Hidden false

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

## Examples

expand all

### Obtain One-Way Turnover Costs

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

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

```
```BuyTurnover =

1.3000

SellTurnover =

0.3000

```