Financial Toolbox

pcpval

Linear inequalities for fixing total portfolio value

Syntax

• [A,b] = pcpval(PortValue, NumAssets)
  

Arguments

PortValue	Scalar total value of asset portfolio (sum of the allocations in all assets). PortValue = 1 specifies weights as fractions of the portfolio and return and risk numbers as rates instead of value.
NumAssets	Number of available asset investments.

Description

[A,b] = pcpval(PortValue, NumAssets) scales the total value of a portfolio of NumAssets assets to PortValue. All portfolio weights, bounds, return, and risk values except ExpReturn and ExpCovariance (see portopt) are in terms of PortValue.

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

Examples

Scale the value of a portfolio of three assets to 1, so all return values are rates and all weight values are in fractions of the portfolio.

• PortValue = 1;
  NumAssets = 3;
  
  [A,b] = pcpval(PortValue, NumAssets)
  
  A =
  
       1     1     1
      -1    -1    -1
  
  b =
  
      1
     -1
  

Portfolio weights of 40%, 10%, and 50% in the three assets satisfy the constraints.

See Also

pcalims, pcgcomp, pcglims, portcons, portopt

pcglims

pointfig