Documentation

getInequality

Obtain inequality constraint arrays from portfolio object

Description

Use the getInequality function with a Portfolio, PortfolioCVaR, or PortfolioMAD object to obtain inequality constraint arrays from portfolio objects.

For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

example

[AInequality,bInequality] = getInequality(obj) obtains equality constraint arrays from portfolio objects.

Examples

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Suppose you have a portfolio of five assets and you want to ensure that the first three assets are no more than 50% of your portfolio. Given a Portfolio object p, set the linear inequality constraints and then obtain values for AInequality and bInequality.

A = [ 1 1 1 0 0 ];
b = 0.5;
p = Portfolio;
p = setInequality(p, A, b);
[AInequality, bInequality] = getInequality(p)
AInequality = 1×5

1     1     1     0     0

bInequality = 0.5000

Suppose you have a portfolio of five assets and you want to ensure that the first three assets constitute at most 50% of your portfolio. Given a PortfolioCVaR object p, set the linear inequality constraints and then obtain values for AInequality and bInequality.

A = [ 1 1 1 0 0 ];
b = 0.5;
p = PortfolioCVaR;
p = setInequality(p, A, b);
[AInequality, bInequality] = getInequality(p)
AInequality = 1×5

1     1     1     0     0

bInequality = 0.5000

Suppose you have a portfolio of five assets and you want to ensure that the first three assets constitute at most 50% of your portfolio. Given a PortfolioMAD object p, set the linear inequality constraints and then obtain values for AInequality and bInequality.

A = [ 1 1 1 0 0 ];
b = 0.5;
p = setInequality(p, A, b);
[AInequality, bInequality] = getInequality(p)
AInequality = 1×5

1     1     1     0     0

bInequality = 0.5000

Input Arguments

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Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Data Types: object

Output Arguments

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Matrix to form linear inequality constraints, returned as a matrix for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Vector to form linear inequality constraints, returned as a vector for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Tips

You can also use dot notation to obtain the inequality constraint arrays from portfolio objects.

[AInequality, bInequality] = obj.getInequality;