Portfolio holdings into weights
Weights = holdings2weights(Holdings,Prices,Budget)
| Number of portfolios ( |
|
|
| (Optional) Scalar or |
Weights = holdings2weights(Holdings,Prices,Budget)
converts
portfolio holdings into portfolio weights. The weights must satisfy
a budget constraint such that the weights sum to Budget
for
each portfolio.
Weights is a NPORTS
by NASSETS
matrix
containing the normalized weights of NPORTS
portfolios
containing NASSETS
assets.
Notes
Holdings
may be negative to indicate
a short position, but the overall portfolio weights must satisfy a
nonzero budget constraint.
The weights in each portfolio sum to the Budget
value
(which is 1
if Budget
is unspecified.)