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getGroups

Obtain group constraint arrays from portfolio object

Description

Use the getGroups function with a Portfolio, PortfolioCVaR, or PortfolioMAD object to obtain group constraint arrays 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.

example

[GroupMatrix,LowerGroup,UpperGroup] = getGroups(obj) obtains group constraint arrays from portfolio objects.

Examples

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Suppose you have a portfolio of five assets and you want to ensure that the first three assets constitute no more than 30% of your portfolio. Given a Portfolio object p with the group constraints set, obtain the values for GroupMatrix, LowerGroup, and UpperGroup.

G = [ true true true false false ];
p = Portfolio;
p = setGroups(p, G, [], 0.3);
[GroupMatrix, LowerGroup, UpperGroup] = getGroups(p)
GroupMatrix = 1×5

     1     1     1     0     0

LowerGroup =

     []
UpperGroup = 0.3000

Suppose you have a portfolio of five assets and you want to ensure that the first three assets constitute at most 30% of your portfolio. Given a PortfolioCVaR object p with the group constraints set, obtain the values for GroupMatrix, LowerGroup, and UpperGroup.

G = [ true true true false false ];
p = PortfolioCVaR;
p = setGroups(p, G, [], 0.3);
[GroupMatrix, LowerGroup, UpperGroup] = getGroups(p)
GroupMatrix = 1×5

     1     1     1     0     0

LowerGroup =

     []
UpperGroup = 0.3000

Suppose you have a portfolio of five assets and you want to ensure that the first three assets constitute at most 30% of your portfolio. Given a PortfolioMAD object p with the group constraints set, obtain the values for GroupMatrix, LowerGroup, and UpperGroup.

G = [ true true true false false ];
p = PortfolioMAD;
p = setGroups(p, G, [], 0.3);
[GroupMatrix, LowerGroup, UpperGroup] = getGroups(p)
GroupMatrix = 1×5

     1     1     1     0     0

LowerGroup =

     []
UpperGroup = 0.3000

Input Arguments

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

Data Types: object

Output Arguments

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Group constraint matrix, returned as a matrix for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Lower bound for group constraints, returned as a vector for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Upper bound for group constraints, returned as a vector for a Portfolio, PortfolioCVaR, or PortfolioMAD input object (obj).

Tips

You can also use dot notation to obtain the group constraint arrays from portfolio objects.

[GroupMatrix, LowerGroup, UpperGroup] = obj.getGroups;

Version History

Introduced in R2011a