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.

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