For information about creating a PortfolioMAD object, see Creating the PortfolioMAD Object.
PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
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 |
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 property InitPort
lets
you identify an initial or current portfolio.
Portfolios are points from a feasible set of assets that constitute an asset universe.
Using the PortfolioMAD object and associated functions for portfolio optimization.
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.