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weights2holdings

Portfolio values and weights into holdings

Syntax

Holdings = weights2holdings(Values, Weights, Prices)

Arguments

Values

Scalar or number of portfolios (NPORTS) vector containing portfolio values.

Weights

NPORTS by number of assets (NASSETS) matrix with portfolio weights. The weights sum to the value of a Budget constraint, which is usually 1. (See holdings2weights for information about budget constraints.)

Prices

NASSETS vector of prices.

Description

Holdings = weights2holdings(Values, Weights, Prices) converts portfolio values and weights into portfolio holdings.

Holdings is a NPORTS-by-NASSETS matrix containing the holdings of NPORTS portfolios that contain NASSETS assets.

    Note   This function does not create round-lot positions. Holdings are floating-point values.

See Also

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