getOneWayTurnover

Obtain one-way turnover constraints from portfolio object

Syntax

[BuyTurnover,SellTurnover] = getOneWayTurnover(obj)

Description

Use the getOneWayTirnover function with a Portfolio, PortfolioCVaR, or PortfolioMAD object to obtain one-way turnover constraints from portfolio objects.

For details on the respective workflows when using these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

[BuyTurnover,SellTurnover] = getOneWayTurnover(obj) obtain one-way turnover constraints from portfolio objects.

Examples

Obtain One-Way Turnover Costs for a Portfolio Object

Set one-way turnover costs.

p = Portfolio('AssetMean',[0.1, 0.2, 0.15], 'AssetCovar',...
[ 0.005, -0.010,  0.004; -0.010,  0.040, -0.002;  0.004, -0.002,  0.023]);
p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0);    %130-30 portfolio
plotFrontier(p);

Obtain one-way turnover costs.

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)

BuyTurnover = 1.3000

SellTurnover = 0.3000

Obtain One-Way Turnover Costs for a PortfolioCVaR Object

Set one-way turnover costs and obtain the buy and sell turnover values.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);

p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0); %130-30 portfolio

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)

BuyTurnover = 1.3000

SellTurnover = 0.3000

Obtain One-Way Turnover Costs for a PortfolioMAD Object

Set one-way turnover costs and obtain the buy and sell turnover values.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioMAD;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);

p = setBudget(p, 1, 1);
p = setOneWayTurnover(p, 1.3, 0.3, 0); %130-30 portfolio

[BuyTurnover,SellTurnover] = getOneWayTurnover(p)

BuyTurnover = 1.3000

SellTurnover = 0.3000

Input Arguments

obj — Object for portfolio

object

Object for portfolio, specified using Portfolio, PortfolioCVaR, or PortfolioMAD object. For more information on creating a portfolio object, see

• Portfolio

• PortfolioCVaR

• PortfolioMAD

Data Types: object

Output Arguments

BuyTurnover — Turnover constraint on purchases

scalar

Turnover constraint on purchases, returned as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

SellTurnover — Turnover constraint on sales

scalar

Turnover constraint on sales, returned as a scalar for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

More About

One-way Turnover Constraint

One-way turnover constraints ensure that estimated optimal portfolios differ from an initial portfolio by no more than specified amounts according to whether the differences are purchases or sales.

The constraints take the form

$$1^T\max \left\{0,x-x_0\right\}\le {\tau }_B$$

$$1^T\max \left\{0,x_0-x\right\}\le {\tau }_S$$

with

• x — The portfolio (NumAssets vector)

• x0 — Initial portfolio (NumAssets vector)

• τ_B — Upper-bound for turnover constraint on purchases (scalar)

• τ_S — Upper-bound for turnover constraint on sales (scalar)

Specify one-way turnover constraints using the following properties in a supported portfolio object: BuyTurnover for τ_B, SellTurnover for τ_S, and InitPort for x0.

Note

The average turnover constraint (which is set using setTurnover) is not just the combination of the one-way turnover constraints with the same value for the constraint.

Tips

You can also use dot notation to get the one-way turnover constraint for portfolio objects.

[BuyTurnover,SellTurnover] = obj.getOneWayTurnover

Version History

Introduced in R2011a