Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
getAssetMoments | Obtain mean and covariance of asset returns from Portfolio object |
setAssetMoments | Set moments (mean and covariance) of asset returns for Portfolio object |
estimateAssetMoments | Estimate mean and covariance of asset returns from data |
setCosts | Set up proportional transaction costs |
Asset Returns and Moments of Asset Returns Using Portfolio Object
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
The Portfolio object uses a separate RiskFreeRate
property
that stores the rate of return of a riskless asset.
Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio
object to estimate efficient portfolios.
Portfolio Optimization Examples
The following sequence of examples highlights features of the Portfolio
object in the Financial Toolbox™.
Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the setBudget
function for the Portfolio
class to define the limits on the sum(AssetWeight_i)
in risky assets.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
Black-Litterman Portfolio Optimization
This example shows the workflow to implement the Black-Litterman model with the Portfolio
class.
Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.
Portfolio object workflow for creating and modeling a mean-variance portfolio.