Estimate global lower and upper bounds for set of portfolios
[
estimates global lower and upper bounds for set of portfolios for
glb
,gub
,isbounded
]
= estimateBounds(obj
)Portfolio
, PortfolioCVaR
, or
PortfolioMAD
objects. For details on the respective
workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow,
and PortfolioMAD Object Workflow.
Note
The estimateBounds
function does not consider
cardinality or semicontinuous constraints. For more information, see
Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects.
You can also use dot notation to estimate the global lower and upper bounds for a given set of portfolios.
[glb, gub, isbounded] = obj.estimateBounds;
Estimated bounds are accurate in most cases to within
1.0e-8
. If you intend to use these bounds directly in a
portfolio object, ensure that if you impose such bound constraints, a lower
bound of 0
is probably preferable to a lower bound of, for
example, 1.0e-10
for portfolio weights.