To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.

Common operations for setting up a Portfolio object.

The Portfolio object property InitPort lets you identify an initial or current portfolio.

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

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.

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.

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.

This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.

This example shows how to use a Portfolio object for portfolio optimization that includes a social performance measure for the percentage of women on a company's board.

This example shows three techniques of asset diversification in a portfolio.

This example shows how to use riskBudgetingPortfolio to create a risk budgeting portfolio and portfolioRiskContribution to compute the risk contribution of the assets in the portfolio.

This example shows how to use backtesting with a risk parity or equal risk contribution strategy rebalanced approximately every month as a risk-based indexation.

This example shows how to compute a hierarchical risk parity (HRP) portfolio.