Financial Derivatives Toolbox

Specifying Constraints with ConSet

Both hedgeopt and hedgeslf accept an optional input argument, ConSet, that allows you to specify a set of linear inequality constraints for instruments in your portfolio. The examples in this section are quite brief. For additional information regarding portfolio constraint specifications, refer to the section Analyzing Portfolios found in the Financial Toolbox User's Guide.

Self-Financing Hedges (hedgeslf)

Setting Constraints