Setting'Simple'Bounds Using thePortfolioFunction

The properties for bound constraints are set through thePortfolioobject. Suppose that you have a balanced fund with stocks that can range from 50% to 75% of your portfolio and bonds that can range from 25% to 50% of your portfolio. The bound constraints for a balanced fund are set with:

lb = [ 0.5; 0.25 ]; ub = [ 0.75; 0.5 ]; p = Portfolio('LowerBound', lb,'UpperBound', ub,'BoundType','Simple'); disp(p.NumAssets) disp(p.LowerBound) disp(p.UpperBound)

2 0.5000 0.2500 0.7500 0.5000

To continue with this example, you must set up a budget constraint. For details, seeWorking with Budget Constraints Using Portfolio Object.

Setting'Simple'Bounds Using thesetBoundsFunction

You can also set the properties for bound constraints usingsetBounds. Suppose that you have a balanced fund with stocks that can range from 50% to 75% of your portfolio and bonds that can range from 25% to 50% of your portfolio. Given aPortfolioobjectp, usesetBoundsto set the bound constraints:

lb = [ 0.5; 0.25 ]; ub = [ 0.75; 0.5 ]; p = Portfolio; p = setBounds(p, lb, ub,'BoundType','Simple'); disp(p.NumAssets) disp(p.LowerBound) disp(p.UpperBound)

2 0.5000 0.2500 0.7500 0.5000

Setting'Simple'Bounds Using thePortfolioFunction orsetBoundsFunction

Both thePortfolio对象和setBounds函数实现标量eithe扩张r theLowerBoundorUpperBoundproperties. If theNumAssetsproperty is already set in thePortfolioobject, scalar arguments for either property expand to have the same value across all dimensions. In addition,setBoundslets you specifyNumAssetsas an optional argument. Suppose that you have a universe of 500 assets and you want to set common bound constraints on all assets in your universe. Specifically, you are a long-only investor and want to hold no more than 5% of your portfolio in any single asset. You can set these bound constraints in any of these equivalent ways:

p = Portfolio('NumAssets', 500,'LowerBound', 0,'UpperBound', 0.05,'BoundType','Simple');

or

p = Portfolio('NumAssets', 500); p = setBounds(p, 0, 0.05,'BoundType','Simple');

or

p = Portfolio; p = setBounds(p, 0, 0.05,'NumAssets', 500,'BoundType','Simple');

To clear bound constraints from yourPortfolioobject, use either thePortfolioobject orsetBoundswith empty inputs for the properties to be cleared. For example, to clear the upper-bound constraint from thePortfolioobjectpin the previous example:

p = Portfolio(p,'UpperBound', []);