Add linear inequality constraints for portfolio weights to existing constraints

Description

example

obj = addInequality(obj,AInequality,bInequality) adds linear inequality constraints for portfolio weights to existing constraints for Portfolio, PortfolioCVaR, or PortfolioMAD objects. For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

Given a linear inequality constraint matrix AInequality and vector bInequality, every weight in a portfolio Port must satisfy the following:

AInequality * Port <= bInequality

This function "stacks" additional linear inequality constraints onto any existing linear inequality constraints that exist in the input portfolio object. If no constraints exist, this function is the same as setInequality.

Examples

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Set a linear inequality constraint to ensure that the first three assets constitute at most 50% of a portfolio. Then add another linear inequality constraint to ensure that the last three assets constitute at least 50% of a portfolio.

p = Portfolio;
A = [ 1 1 1 0 0 ];    % first inequality constraint
b = 0.5;
p = setInequality(p, A, b);

A = [ 0 0 -1 -1 -1 ];    % second inequality constraint
b = -0.5;

disp(p.NumAssets);
5
disp(p.AInequality);
1     1     1     0     0
0     0    -1    -1    -1
disp(p.bInequality);
0.5000
-0.5000

Set a linear inequality constraint to ensure that the first three assets constitute at most 50% of a portfolio. Then add another linear inequality constraint to ensure that the last three assets constitute at least 50% of a portfolio.

p = PortfolioCVaR;
A = [ 1 1 1 0 0 ];    % first inequality constraint
b = 0.5;
p = setInequality(p, A, b);

A = [ 0 0 -1 -1 -1 ];    % second inequality constraint
b = -0.5;

disp(p.NumAssets);
5
disp(p.AInequality);
1     1     1     0     0
0     0    -1    -1    -1
disp(p.bInequality);
0.5000
-0.5000

Set a linear inequality constraint to ensure that the first three assets constitute at most 50% of a portfolio. Then add another linear inequality constraint to ensure that the last three assets constitute at least 50% of a portfolio.

A = [ 1 1 1 0 0 ];    % first inequality constraint
b = 0.5;
p = setInequality(p, A, b);

A = [ 0 0 -1 -1 -1 ];    % second inequality constraint
b = -0.5;

disp(p.NumAssets);
5
disp(p.AInequality);
1     1     1     0     0
0     0    -1    -1    -1
disp(p.bInequality);
0.5000
-0.5000

Input Arguments

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Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Data Types: object

Linear inequality constraints, specified as a matrix.

Note

An error results if AInequality is empty and bInequality is nonempty.

Data Types: double

Linear inequality constraints, specified as a vector.

Note

An error results if bInequality is empty and AInequality is nonempty.

Data Types: double

Output Arguments

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Updated portfolio object, returned as a Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

Tips

• You can also use dot notation to add the linear inequality constraints for portfolio weights.