Create Portfolio

Create PortfolioMAD object for mean-absolute deviation (MAD) portfolio optimization

To create a fully specified MAD portfolio optimization problem, instantiate the PortfolioMAD object using PortfolioMAD. For information on the workflow when using PortfolioMAD objects, see PortfolioMAD Object Workflow. For information about creating a PortfolioMAD object, see Creating the PortfolioMAD Object.

Objects

PortfolioMAD Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Functions

`setAssetList`	Set up list of identifiers for assets
`setInitPort`	Set up initial or current portfolio
`setDefaultConstraints`	Set up portfolio constraints with nonnegative weights that sum to 1

Topics

Portfolio Optimizations

Creating the PortfolioMAD Object
To create a fully specified MAD portfolio optimization problem, instantiate the PortfolioMAD object using the PortfolioMAD function.
Common Operations on the PortfolioMAD Object
Common operations for setting up a PortfolioMAD object.
Setting Up an Initial or Current Portfolio
The PortfolioMAD object property InitPort lets you identify an initial or current portfolio.

Portfolio Theory

Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
PortfolioMAD Object
Using the PortfolioMAD object and associated functions for portfolio optimization.
PortfolioMAD Object Workflow
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.