Portfolio construction using Matlab
Posted: Sat Jan 23, 2016 1:33 pmDear members
I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns, using Matlab. The portfolio needs to be re-balanced every month.
How to tell Matlab about this constraint?
I can't use the default command (setDefaultConstraints) coz it doesn't allow short positions...
I'm new member here, I would be very grateful if you could answer me.
Thanks in advance!
I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns, using Matlab. The portfolio needs to be re-balanced every month.
How to tell Matlab about this constraint?
I can't use the default command (setDefaultConstraints) coz it doesn't allow short positions...
I'm new member here, I would be very grateful if you could answer me.
Thanks in advance!