Clarifying Definition of Turnover in Financial Toolbox

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Dat Hoang
Dat Hoang on 11 Sep 2018
Answered: Rishabh Gupta on 24 Sep 2018
This may be a silly question but I am looking to set a turnover constraint within the CVaR portfolio object using setTurnover . I am having trouble understanding the way the documentation defines turnover (copied below)
1' *1/2* | Port - InitPort | <= Turnover
How should the first portion of this (the 1' * 1/2 *) be interpreted?

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Answers (1)

Rishabh Gupta
Rishabh Gupta on 24 Sep 2018
Hi Dat,
I think the constraint should be interpreted as follows -
1/2 * |Port - InitPort| <= Turnover

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