MATLAB: Is it possible to specify per-asset turnover constraints for Portfolio objects in the Financial Toolbox

Financial Toolbox

I would like to know if it's possible to specify instrument by instrument turnover constraints rather than a portfolio aggregate turnover constraint when using Portfolio objects.

Best Answer

In R2012a, there is no direct way of specifying per-asset turnover constraints using the 'Turnover' property of the Portfolio object or using the setTurnover method. As you have already noticed, these are intended for average turnover constraints.
However, you could use the individual upper and lower bounds on the portfolio weights to set per-asset limits. For example, if you want asset i to stay within 5% of the current level, set LowerBound(i) = 0.95*InitPortfolio(i), UpperBound(i) = 1.05*InitPortfolio(i).
Related Question