Portfolio Allocation while shorting stocks
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Hi all,
If I want to have constraints for assets so that I can only short them and then the sum of total allocation should be -1, how to achieve it in Matlab?
While using pcalims, I can only choose each asset minimum and maximum value, but not the sum of allocation as "-1". While using pcpval, I can choose total portfolio allocation as -1, but then it always becomes an unbounded and hence unsolved problem.
What am I missing when I want to have the aforesaid two constraints. Really appreciate the help.
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도움말 센터 및 File Exchange에서 Portfolio Optimization and Asset Allocation에 대해 자세히 알아보기
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