PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
Working with MAD Portfolio Constraints Using Defaults
The most basic or “default” portfolio
set requires portfolio weights to be nonnegative and to sum to 1
.
Working with 'Simple' Bound Constraints Using PortfolioMAD Object
'Simple'
bound constraints are optional linear constraints
that maintain upper and lower bounds on portfolio weights.
Working with Budget Constraints Using PortfolioMAD Object
The budget constraint is an optional linear constraint that maintains upper and lower bounds on the sum of portfolio weights.
Working with Group Constraints Using PortfolioMAD Object
Group constraints are optional linear constraints that group assets together and enforce bounds on the group weights.
Working with Group Ratio Constraints Using PortfolioMAD Object
Group ratio constraints are optional linear constraints that maintain bounds on proportional relationships among groups of assets.
Working with Linear Equality Constraints Using PortfolioMAD Object
Linear equality constraints are optional linear constraints that impose systems of equalities on portfolio weights.
Working with Linear Inequality Constraints Using PortfolioMAD Object
Linear inequality constraints are optional linear constraints that impose systems of inequalities on portfolio weights.
Working with Average Turnover Constraints Using PortfolioMAD Object
The turnover constraint is an optional linear absolute value constraint that enforces an upper bound on the average of purchases and sales.
Working with One-Way Turnover Constraints Using PortfolioMAD Object
One-way turnover constraints are optional constraints that enforce upper bounds on net purchases or net sales.
Using 'Conditional'
BoundType
, MinNumAssets
, and
MaxNumAssets
constraints with PortfolioMAD
objects.
Portfolio Set for Optimization Using PortfolioMAD Object
The complete specification of a portfolio optimization problem is the set of feasible portfolios, which is called a portfolio set.
The default portfolio optimization problem has a risk
and return proxy associated with a given problem, and a portfolio
set that specifies portfolio weights to be nonnegative and to sum to 1
.
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.