MATLAB: How to set BoundType Conditional to PortfolioCVar Object

Question

How can I set the lower bounds of a PortfolioCVar object conditional to be 0 or 0.02 (for example) ? This function exists in the Portfolio object, but not in PortfolioCVar. Is there another way to do it ?

Answer 1

Hi,

check setBounds which is the function to:

Set up bounds for portfolio weights for PortfolioCVaR or PortfolioMAD objects

Best regards

Stephan