Create Portfolio
Create PortfolioMAD object for mean-absolute deviation (MAD) portfolio optimization
To create a fully specified MAD portfolio optimization problem,
instantiate the PortfolioMAD object using PortfolioMAD. For
information on the workflow when using
PortfolioMAD objects, see PortfolioMAD Object Workflow. For information about
creating a PortfolioMAD object, see Creating the PortfolioMAD Object.
Objects
PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
Functions
setAssetList | Set up list of identifiers for assets |
setInitPort | Set up initial or current portfolio |
setDefaultConstraints | Set up portfolio constraints with nonnegative weights that sum to 1 |
Topics
Portfolio Optimizations
- Creating the PortfolioMAD Object
To create a fully specified MAD portfolio optimization problem, instantiate the PortfolioMAD object using the PortfolioMAD function. - Common Operations on the PortfolioMAD Object
Common operations for setting up a PortfolioMAD object. - Setting Up an Initial or Current Portfolio
The PortfolioMAD object propertyInitPortlets you identify an initial or current portfolio.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - PortfolioMAD Object
Using the PortfolioMAD object and associated functions for portfolio optimization. - PortfolioMAD Object Workflow
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio. - When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.
