HIMIPref™ Portfolio Method : Recommended Constraints

systemConstants for the portfolioMethod of trade optimization are availble to subscribers on the HIMIPref™ server.

Recommended constraints are:

Constraints Identifier : 3
description : Portfolio: >$5-Million
maxWeight : 10.00 %
minWeight : 0.1000 %
maxWeightRetractible : 100.00 %
maxWeightIssuerClass2 : 10.00 %
maxWeightSplitShareCorp : 100.00 %
maxWeightInterestPay : 100.00 %
maxWeightCumulativeDividends : 100.00 %
maxWeightCreditClass2 : 100.00 %
tradingMaxDays : 0.50
Optimization Type : Portfolio Method
IndexID : 1
maxWeightIssuerClass3 : 5.00 %
maxWeightFloatingRate : 50.00 %
maxWeightCreditClass3 : 10.00 %

See the Constraints page of the User Manual for an explanation of the various parameters.

This entry was posted on Monday, January 29th, 2007 at 10:13 pm and is filed under Data Changes. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

One Response to “HIMIPref™ Portfolio Method : Recommended Constraints”

  1. PrefBlog » Blog Archive » BCE.PR.G : HIMIPref™ Valuation Warning says:
    February 3, 2007 at 12:07 am

    […] I find it fascinating that this warning is not necessary for users of the portfolio method, which has been discussed recently. This is because the optimizableParameter instrumentPriceDisparityValuation has a much lower value in the portfolioMethod (0.086) than in the issueMethod (1.035). […]

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