addGroupRatio - Class: Portfolio

Add group ratio constraints for portfolio weights to existing group ratio constraints

Syntax

obj = addGroupRatio(obj, GroupA, GroupB, LowerRatio) obj = addGroupRatio(obj, GroupA, GroupB, LowerRatio, UpperRatio)

Description

obj = addGroupRatio(obj, GroupA, GroupB, LowerRatio) to add group ratio constraints for the portfolio weights to existing group ratio constraints with just a lower bound on the ratio between groups.

obj = addGroupRatio(obj, GroupA, GroupB, LowerRatio, UpperRatio) to add group ratio constraints for the portfolio weights to existing group ratio constraints with an additional option for UpperRatio.

Given base and comparison group matrices GroupA and GroupB and, either LowerRatio, or UpperRatio bounds, group ratio constraints require any portfolio in Port to satisfy:

(GroupB * Port) .* LowerRatio <= GroupA * Port <= (GroupB * Port) .* UpperRatio

Caution This collection of constraints usually require that portfolio weights be nonnegative and that the products GroupA * Port and GroupB * Port are always nonnegative. Although negative portfolio weights and non-Boolean group ratio matrices are supported, use with caution.

Tips

Use dot notation to add group ratio constraints for the portfolio weights to existing group ratio constraints:
```
obj = obj.addGroupRatio(GroupA, GroupB, LowerRatio, UpperRatio)
```
To remove group ratio constraints from a portfolio object, enter empty arrays for the corresponding arrays.

Input Arguments

obj

A portfolio object [Portfolio].

GroupA

Matrix that forms base groups for comparison [matrix].

GroupB

Matrix that forms comparison groups [matrix].

Note The group matrices GroupA and GroupB are usually indicators of membership in groups, which means that their elements are usually either 0 or 1. Because of this interpretation, the GroupA and GroupB matrices can be logical or numerical arrays.

LowerGroup

Lower-bound for ratio of GroupB groups to GroupA groups [vector].

Note If input is scalar, LowerGroup undergoes scalar expansion to be conformable with the group matrices.

UpperRatio

(Optional) Upper-bound for ratio of GroupB groups to GroupA groups [vector].

Note If input is scalar, UpperRatio undergoes scalar expansion to be conformable with the group matrices.

Output Arguments

obj

Updated portfolio object [Portfolio].

Attributes

`Access`	`public`
`Static`	`false`
`Hidden`	`false`

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

Examples

To add another group ratio constraint to ensure that the weight in odd-numbered assets constitute at least 20% of the weight in nonfinancial assets of a portfolio, use addGroupRatio to build up group ratio constraints by creating another group matrix for the second group constraint:

p = Portfolio;
GA = [ true true true false false false ];    % financial companies
GB = [ false false false true true true ];    % non-financial companies
p = p.setGroupRatio(GA, GB, [], 0.5);

GA = [ true false true false true false ];    % odd-numbered companies
GB = [ false false false true true true ];    % non-financial companies
p = p.addGroupRatio(GA, GB, 0.2);

disp(p.NumAssets);
disp(p.GroupA);
disp(p.GroupB);
disp(p.LowerRatio);
disp(p.UpperRatio);


 6

1     1     1     0     0     0
1     0     1     0     1     0

0     0     0     1     1     1
0     0     0     1     1     1

  -Inf
0.2000

0.5000
  Inf

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