pcalims (Financial Toolbox)

pcalims
Linear inequalities for individual asset allocation

Syntax

[A,b] = pcalims(AssetMin, AssetMax, NumAssets)

Arguments

AssetMin
Scalar or NASSETS vector of minimum allocations in each asset. NaN indicates no constraint.

AssetMax
Scalar or NASSETS vector of maximum allocations in each asset. NaN indicates no constraint.

NumAssets
(Optional) Number of assets. Default = length of AssetMin or AssetMax.

`AssetMin`	Scalar or `NASSETS` vector of minimum allocations in each asset. `NaN` indicates no constraint.
`AssetMax`	Scalar or `NASSETS` vector of maximum allocations in each asset. `NaN` indicates no constraint.
`NumAssets`	(Optional) Number of assets. Default = length of `AssetMin` or `AssetMax`.

Description
[A,b] = pcalims(AssetMin, AssetMax, NumAssets) specifies the lower and upper bounds of portfolio allocations in each of NumAssets available asset investments.

A is a matrix and b a vector such that A*PortWts' <= b, where PortWts is a 1-by-NASSETS vector of asset allocations.

If pcalims is called with fewer than two output arguments, the function returns A concatenated with b [A,b].

Examples
Set the minimum weight in every asset to 0 (no short-selling), and set the maximum weight of IBM to 0.5 and CSCO to 0.8, while letting the maximum weight in INTC float.

Asset
IBM
INTC
CSCO

Min. Wt.
0
0
0

Max. Wt.
0.5

0.8

AssetMin = 0
AssetMax = [0.5 NaN 0.8]
[A,b] = pcalims(AssetMin, AssetMax)

A =
     1     0     0
     0     0     1
    -1     0     0
     0    -1     0
     0     0    -1

b =

    0.5000
    0.8000
         0
         0
         0

Portfolio weights of 50% in IBM and 50% in INTC satisfy the constraints.

Set the minimum weight in every asset to 0 and the maximum weight to 1.


Asset	IBM	INTC	CSCO
Min. Wt.	0	0	0
Max. Wt.	1	1	1

AssetMin = 0
AssetMax = 1
NumAssets = 3

[A,b] = pcalims(AssetMin, AssetMax, NumAssets)

A =

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

b =
    1
    1
    1
    0
    0
    0

Portfolio weights of 50% in IBM and 50% in INTC satisfy the constraints.

See Also
pcgcomp, pcglims, pcpval, portcons, portopt

payuni pcgcomp