estimateBounds
Estimate global lower and upper bounds for set of portfolios
Syntax
Description
[
estimates global lower and
upper bounds for set of portfolios for glb
,gub
,isbounded
]
= estimateBounds(obj
)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.
Note
The estimateBounds
function does not consider
cardinality or semicontinuous constraints. For more information, see
Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects.
Examples
Input Arguments
Output Arguments
More About
Tips
You can also use dot notation to estimate the global lower and upper bounds for a given set of portfolios.
[glb, gub, isbounded] = obj.estimateBounds;
Estimated bounds are accurate in most cases to within
1.0e-8
. If you intend to use these bounds directly in a portfolio object, ensure that if you impose such bound constraints, a lower bound of0
is probably preferable to a lower bound of, for example,1.0e-10
for portfolio weights.
Version History
Introduced in R2011a