addGroups - Class: Portfolio

Add group constraints for portfolio weights to existing group constraints

Syntax

obj = addGroups(obj, GroupMatrix, LowerGroup) obj = addGroups(obj, GroupMatrix, LowerGroup, UpperGroup)

Description

obj = addGroups(obj, GroupMatrix, LowerGroup) to add group constraints for portfolio weights to existing group constraints subject to a lower bound on groups.

obj = addGroups(obj, GroupMatrix, LowerGroup, UpperGroup) to add the group constraints for portfolio weights to existing group constraints with an additional option for UpperGroup.

Given GroupMatrix and either LowerGroup or UpperGroup, a portfolio Port must satisfy:

LowerGroup <= GroupMatrix * Port <= UpperGroup

Tips

Use dot notation to add group constraints for portfolio weights:
```
obj = obj.addGroups(GroupMatrix, LowerGroup, UpperGroup)
```
To remove group constraints from a portfolio object, enter empty arrays for the corresponding arrays.

Input Arguments

obj

A portfolio object [Portfolio].

GroupMatrix

Group constraint matrix [matrix].

Note The group matrix GroupMatrix is usually an indicator of membership in groups, which means that its elements are usually either 0 or 1. Because of this interpretation,GroupMatrix can be a logical or numerical matrix.

LowerGroup

Lower bound for group constraints [vector].

Note If input is scalar, LowerGroup undergoes scalar expansion to be conformable with GroupMatrix.

UpperGroup

(Optional) Upper bound for group constraints [vector].

Note If input is scalar, UpperGroup undergoes scalar expansion to be conformable with GroupMatrix.

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 constraint to ensure that the odd-numbered assets constitute at least 20% of a portfolio, use addGroups to build up group constraints by creating another group matrix for a second group constraint:

p = Portfolio;
G = [ true true true false false ];    % group matrix for first group constraint
p = p.setGroups(G, [], 0.3);
G = [ true false true false true ];    % group matrix for second group constraint
p = p.addGroups(G, 0.2);
disp(p.NumAssets);
disp(p.GroupMatrix);
disp(p.LowerGroup);
disp(p.UpperGroup);

 5

1     1     1     0     0
1     0     1     0     1

  -Inf
0.2000

0.3000
  Inf

Search MATLAB Documentation
R2012a Documentation → Financial Toolbox
View documentation for other releases	Learn more about Financial Toolbox