Hello, Matlab community. I am working on a portfolio optimization exercise, and I’m looking for a way to incorporate a user-defined objective function in the usual Portfolio object workflow. The "estimateCustomObjectivePortfolio" function seems to be exactly what I need, but unfortunately it was introduced in R2022b. I am using a corporate R2021b Matlab license, so my IT department may not let me just upgrade to get the new functionality (I’m checking on that as well).
Assuming I have to live with R2021b for now, I’ll give you an example of what I’m trying to accomplish. Consider a fixed-income-only universe of asset classes, and durations for each:
– IG corporate duration = 7 years
– high yield corporate duration = 3 years
– treasury duration = 10 years
– etc.
In the portfolio optimization, I’d like to be able to have a stated duration target for the resulting portfolio. But, the duration of any hypothetical portfolio depends on the portfolio weights the optimizer is considering in any given iteration, and I don’t see a way (in my version of Matlab) to state that duration target as a constraint or objective.
Thanks in advance for any thoughts you may have.Hello, Matlab community. I am working on a portfolio optimization exercise, and I’m looking for a way to incorporate a user-defined objective function in the usual Portfolio object workflow. The "estimateCustomObjectivePortfolio" function seems to be exactly what I need, but unfortunately it was introduced in R2022b. I am using a corporate R2021b Matlab license, so my IT department may not let me just upgrade to get the new functionality (I’m checking on that as well).
Assuming I have to live with R2021b for now, I’ll give you an example of what I’m trying to accomplish. Consider a fixed-income-only universe of asset classes, and durations for each:
– IG corporate duration = 7 years
– high yield corporate duration = 3 years
– treasury duration = 10 years
– etc.
In the portfolio optimization, I’d like to be able to have a stated duration target for the resulting portfolio. But, the duration of any hypothetical portfolio depends on the portfolio weights the optimizer is considering in any given iteration, and I don’t see a way (in my version of Matlab) to state that duration target as a constraint or objective.
Thanks in advance for any thoughts you may have. Hello, Matlab community. I am working on a portfolio optimization exercise, and I’m looking for a way to incorporate a user-defined objective function in the usual Portfolio object workflow. The "estimateCustomObjectivePortfolio" function seems to be exactly what I need, but unfortunately it was introduced in R2022b. I am using a corporate R2021b Matlab license, so my IT department may not let me just upgrade to get the new functionality (I’m checking on that as well).
Assuming I have to live with R2021b for now, I’ll give you an example of what I’m trying to accomplish. Consider a fixed-income-only universe of asset classes, and durations for each:
– IG corporate duration = 7 years
– high yield corporate duration = 3 years
– treasury duration = 10 years
– etc.
In the portfolio optimization, I’d like to be able to have a stated duration target for the resulting portfolio. But, the duration of any hypothetical portfolio depends on the portfolio weights the optimizer is considering in any given iteration, and I don’t see a way (in my version of Matlab) to state that duration target as a constraint or objective.
Thanks in advance for any thoughts you may have. portfolio optimization, custom constraint MATLAB Answers — New Questions

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