Linear inequalities for fixing total portfolio value

As an alternative to `pcpval`

, use
the Portfolio object (`Portfolio`

)
for mean-variance portfolio optimization. This object supports gross
or net portfolio returns as the return proxy, the variance of portfolio
returns as the risk proxy, and a portfolio set that is any combination
of the specified constraints to form a portfolio set. For information
on the workflow when using Portfolio objects, see Portfolio Object Workflow.

```
[A,b] = pcpval(PortValue, NumAssets)
```

| Scalar total value of asset portfolio (sum of the allocations
in all assets). |

| Number of available asset investments. |

`[A,b] = pcpval(PortValue, NumAssets)`

scales
the total value of a portfolio of `NumAssets`

assets
to `PortValue`

. All portfolio weights, bounds, return,
and risk values except `ExpReturn`

and `ExpCovariance`

(see `portopt`

) are in terms of `PortValue`

.

`A`

is a matrix and `b`

a
vector such that `A*PortWts' <= b`

, where `PortWts`

is
a 1-by-`NASSETS`

vector of asset allocations.

If `pcpval`

is called with fewer than two output
arguments, the function returns `A`

concatenated
with `b`

`[A,b]`

.

Scale the value of a portfolio of three assets = 1, so all return values are rates and all weight values are in fractions of the portfolio.

PortValue = 1; NumAssets = 3; [A,b] = pcpval(PortValue, NumAssets)

A = 1 1 1 -1 -1 -1 b = 1 -1

Portfolio weights of 40%, 10%, and 50% in the three assets satisfy the constraints.

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