addInequality - Class: Portfolio

Add linear inequality constraints for portfolio weights to existing constraints

Syntax

obj = addInequality(obj, AInequality, bInequality)

Description

obj = addInequality(obj, AInequality, bInequality) to add linear inequality constraints for portfolio weights to existing constraints.

Given linear inequality constraint matrix AInequality and vector bInequality, every weight in a portfolio Port must satisfy:

AInequality * Port <= bInequality

Tips

Use dot notation to add linear inequality constraints for portfolio weights to existing constraints:
```
obj = obj.addInequality(AInequality, bInequality)
```
To remove linear inequality constraints for portfolio weights from a portfolio object:
```
obj = obj.setInequality([ ], [ ])
```

Input Arguments

`obj`	A portfolio object `[`Portfolio`]`.
`AEquality`	Matrix to form linear inequality constraints `[`matrix`]`.
`bEquality`	Vector to form linear inequality constraints `[`vector`]`.

Note An error results if AInequality is empty and bInequality is nonempty, or if AInequality is nonempty and bInequality is empty.

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 linear inequality constraint to ensure that the last three assets constitute at least 50% of a portfolio, use addInequality to build up linear inequality constraints by creating another system of inequalities:

p = Portfolio;
A = [ 1 1 1 0 0 ];    % first inequality constraint
b = 0.5;
p = p.setInequality(A, b);

A = [ 0 0 -1 -1 -1 ];    % second inequality constraint
b = -0.5;
p = p.addInequality(A, b);

disp(p.NumAssets);
disp(p.AInequality);
disp(p.bInequality);

5

1     1     1     0     0
0     0    -1    -1    -1

0.5000
-0.5000

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