How to calculate minimum variance portfolio with constraints?
조회 수: 6 (최근 30일)
이전 댓글 표시
Dear everyone,
I would like to calculate the weights of a minimum variance portfolio with leverage and short sale constraints. I have found the code below, which winsorizes the weights to 1, namely there the investor cannot leverage her wealth. However, I need to adjust it, so that the investor can leverage up to 2 times her portfolio and short sale up to 1 time her portfolio, in other word the weights (denoted as w) should follow the rule -1<=w<=2 .
% Portfolio problem
prob = optimproblem('ObjectiveSense','minimize');
% Variables
% Portfolio weights
x = optimvar('x',nAssets,1,'LowerBound',0); % x >= 0 (long-only portfolio)
% Objective
% min x'*Sigma*x (Variance)
prob.Objective = x'*Sigma*x;
% Constraints
% Sum of weights equal to 1 (fully-invested)
prob.Constraints.sumToTau = sum(x) == 1;
% Solve problem
sol = solve(prob);
w = sol.x;
댓글 수: 1
Sargondjani
2023년 2월 7일
I dont know how you modelled borrowing. Is it simply modelled as a risk free asset?
Anyway, you would have to set the lower bound for that specific asset to -2*Value of portfolio. Then you need to set the lower bound for the sum weights of all other asset to -1 (ie. you can short the risky portfolio once).
답변 (0개)
참고 항목
카테고리
Help Center 및 File Exchange에서 Portfolio Optimization and Asset Allocation에 대해 자세히 알아보기
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!