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Create Portfolio

Create PortfolioMAD object for mean-absolute deviation (MAD) portfolio optimization

For information about creating a PortfolioMAD object, see Creating the PortfolioMAD Object.

Objects

PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Functions

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

Examples and How To

Creating the PortfolioMAD Object

To create a fully specified MAD portfolio optimization problem, instantiate the PortfolioMAD object using the PortfolioMAD function.

Common Operations on the PortfolioMAD Object

Common operations for setting up a PortfolioMAD object.

Setting Up an Initial or Current Portfolio

The PortfolioMAD object property InitPort lets you identify an initial or current portfolio.

Concepts

Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

PortfolioMAD Object

Using the PortfolioMAD object and associated functions for portfolio optimization.

PortfolioMAD Object Workflow

PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.