Hi there,
I am optimizing a portfolio using the mean-CVaR optimization function in Matlab. One of the constraints I would like to set is that the portfolio weights for each asset class should be rounded to the nearest 0.05.
I have defined the rounding constraint as
round(x/5,2)*5
which works fine. However, I am wondering now how I can include this as a constraint in the optimization instead of just rounding the weights after the optimization.
Here is the code I am using for the portfolio optimization
pmc = PortfolioCVaR; pmc = pmc.setAssetList(IndexList); % select index names
pmc = pmc.setScenarios(returns); % select return series
pmc = pmc.setProbabilityLevel(0.95); % cVaR confidence level
pmc = pmc.setDefaultConstraints; % Constraint 1: only positive
weights that sum to 1pmc = pmc.setBounds(0.01, 0.1); % Constraint 2: min/max weights
I would be happy about any hints!
Thanks a lot, Carolin
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