pcalims (Financial Toolbox)

Linear inequalities for individual asset allocation.

Syntax

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

Arguments


`AssetMin`	Scalar or `NASSETS`-long vector of minimum allocations in each asset. `NaN` indicates no constraint.
`AssetMax`	Scalar or `NASSETS`-long 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].

Example

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 =

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 =

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