setOneWayTurnover

Set up one-way portfolio turnover constraints

Syntax

obj = setOneWayTurnover(obj,BuyTurnover)

obj = setOneWayTurnover(obj,BuyTurnover,SellTurnover,InitPort,NumAssets)

Description

obj = setOneWayTurnover(obj,BuyTurnover) sets up one-way portfolio turnover 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.

obj = setOneWayTurnover(obj,BuyTurnover,SellTurnover,InitPort,NumAssets) sets up one-way portfolio turnover constraints for portfolio objects with additional options specified for SellTurnover, InitPort, and NumAssets.

Given an initial portfolio in InitPort and an upper bound for portfolio turnover on purchases in BuyTurnover or sales in SellTurnover, the one-way turnover constraints require any portfolio Port to satisfy the following:

1' * max{0, Port - InitPort} <= BuyTurnover
1' * max{0, InitPort - Port} <= SellTurnover

Note

If Turnover = BuyTurnover = SellTurnover, the constraint is not equivalent to:

1' * | Port - InitPort | <= Turnover

To set this constraint, use setTurnover.

Examples

Set One-Way Turnover Constraints for a Portfolio Object

Set one-way turnover constraints.

p = Portfolio('AssetMean',[0.1, 0.2, 0.15], 'AssetCovar',...
[ 0.005, -0.010,  0.004; -0.010,  0.040, -0.002;  0.004, -0.002,  0.023]);
p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0); %130-30 portfolio
plotFrontier(p);

Set One-Way Turnover Constraints for a PortfolioCVaR Object

Set one-way turnover constraints.

x0 = [ 0.12; 0.09; 0.08; 0.07; 0.1; 0.1; 0.15; 0.11; 0.08; 0.1 ]; 
p = PortfolioCVaR('InitPort', x0);
p = setOneWayTurnover(p, 0.3, 0.2);
disp(p.NumAssets);

    10

disp(p.BuyTurnover)

    0.3000

disp(p.SellTurnover)

    0.2000

disp(p.InitPort);

    0.1200
    0.0900
    0.0800
    0.0700
    0.1000
    0.1000
    0.1500
    0.1100
    0.0800
    0.1000

Set One-Way Turnover Constraints for a PortfolioMAD Object

Set one-way turnover constraints.

x0 = [ 0.12; 0.09; 0.08; 0.07; 0.1; 0.1; 0.15; 0.11; 0.08; 0.1 ]; 
p = PortfolioMAD('InitPort', x0);
p = setOneWayTurnover(p, 0.3, 0.2);
disp(p.NumAssets);

    10

disp(p.BuyTurnover)

    0.3000

disp(p.SellTurnover)

    0.2000

disp(p.InitPort);

    0.1200
    0.0900
    0.0800
    0.0700
    0.1000
    0.1000
    0.1500
    0.1100
    0.0800
    0.1000

Input Arguments

obj — Object for portfolio

object

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

• Portfolio

• PortfolioCVaR

• PortfolioMAD

Data Types: object

BuyTurnover — Turnover constraint on purchases

nonnegative and finite scalar

Turnover constraint on purchases, specified as a nonnegative and finite scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

SellTurnover — Turnover constraint on sales

nonnegative and finite scalar

Turnover constraint on sales, specified as a nonnegative and finite scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

InitPort — Initial or current portfolio weights

0 (default) | finite vector with NumAssets > 0 elements

Initial or current portfolio weights, specified as a finite vector with NumAssets > 0 elements for a Portfolio, PortfolioCVaR, PortfolioMAD input object (obj).

Note

If no InitPort is specified, that value is assumed to be 0.

If InitPort is specified as a scalar and NumAssets exists, then InitPort undergoes scalar expansion.

Data Types: double

NumAssets — Number of assets in portfolio

1 (default) | scalar

Number of assets in portfolio, specified as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Note

If it is not possible to obtain a value for NumAssets, it is assumed that NumAssets is 1.

Data Types: double

Output Arguments

obj — Updated portfolio object

object for portfolio

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

• Portfolio

• PortfolioCVaR

• PortfolioMAD

More About

One-way Turnover Constraint

One-way turnover constraints ensure that estimated optimal portfolios differ from an initial portfolio by no more than specified amounts according to whether the differences are purchases or sales.

The constraints take the form

$$1^T\max \left\{0,x-x_0\right\}\le {\tau }_B$$

$$1^T\max \left\{0,x_0-x\right\}\le {\tau }_S$$

with

• x — The portfolio (NumAssets vector)

• x0 — Initial portfolio (NumAssets vector)

• τ_B — Upper-bound for turnover constraint on purchases (scalar)

• τ_S — Upper-bound for turnover constraint on sales (scalar)

Specify one-way turnover constraints using the following properties in a supported portfolio object: BuyTurnover for τ_B, SellTurnover for τ_S, and InitPort for x0.

Note

The average turnover constraint (which is set using setTurnover) is not just the combination of the one-way turnover constraints with the same value for the constraint.

Tips

You can also use dot notation to set up one-way portfolio turnover constraints.

obj = obj.setOneWayTurnover(BuyTurnover,SellTurnover,InitPort,NumAssets)

Version History

Introduced in R2011a