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Portfolio values and weights into holdings


Holdings = weights2holdings(Values,Weights,Prices) converts portfolio values and weights into portfolio holdings.


weights2holdings does not create round-lot positions. The output Holdings are floating-point values.

Input Arguments

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Portfolio values, specified as a scalar or an NPORTS vector.

Data Types: double

Portfolio weights, specified as an NPORTS-by-NASSETS matrix. The weights sum to the value of a Budget constraint, which is usually 1. (See holdings2weights for information about budget constraints.)

Data Types: double

Asset prices, specified as an NASSETS vector.

Data Types: double

Output Arguments

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Holdings value, returned as an NPORTS-by-NASSETS matrix that contains the holdings of NPORTS portfolios that contain NASSETS assets.

Version History

Introduced before R2006a