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!
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.
Ah ok !
Thanks for your comment