Dear 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!
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Portfolio construction using Matlab
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Portfolio construction using Matlab
by Nour » Sat Jan 23, 2016 1:33 pm
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Re: Portfolio construction using Matlab
by jpfeifer » Sun Jan 24, 2016 7:41 pm
Sorry, but I am afraid you have come to the wrong place. This forum is about the software Dynare. We do not provide support for Matlab products.
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Re: Portfolio construction using Matlab
by Nour » Mon Jan 25, 2016 10:51 am
Ah ok !
Thanks for your comment
Thanks for your comment
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