Create Portfolio
Create Portfolio object for mean-variance portfolio optimization
To create a fully specified mean-variance portfolio optimization
problem, instantiate the Portfolio
object using
Portfolio
. For
information on the workflow when using Portfolio
objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31
sec)
Objects
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Functions
Topics
Portfolio Operations
- Creating the Portfolio Object
To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function. - Common Operations on the Portfolio Object
Common operations for setting up a Portfolio object. - Setting Up an Initial or Current Portfolio
The Portfolio object propertyInitPort
lets you identify an initial or current portfolio. - Setting Up a Tracking Portfolio
The Portfolio object propertyTrackingPort
lets you identify a tracking portfolio.
Portfolio Optimizations
- Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with aPortfolio
object to estimate efficient portfolios. - Portfolio Optimization Examples Using Financial Toolbox™
Follow a sequence of examples that highlight features of thePortfolio
object. - Portfolio Optimization Against a Benchmark
This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark. - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudget
function for thePortfolio
class to define the limits on thesum(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 Using Financial Toolbox™
This example shows the workflow to implement the Black-Litterman model with thePortfolio
class in Financial Toolbox™. - 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 Optimization Using Social Performance Measure
Use aPortfolio
object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board. - Risk Budgeting Portfolio
This example shows how to useriskBudgetingPortfolio
to create a risk budgeting portfolio andportfolioRiskContribution
to compute the risk contribution of the assets in the portfolio. - Backtest Using Risk-Based Equity Indexation
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. - Create Hierarchical Risk Parity Portfolio
This example shows how to compute a hierarchical risk parity (HRP) portfolio. - Risk Parity or Budgeting with Constraints
This example shows how to solve risk parity or budgeting problems with constraints usingestimateCustomObjectivePortfolio
.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - Portfolio Object
Using the Portfolio object and associated functions for portfolio optimization. - Default Portfolio Problem
The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to1
. - When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox. - Role of Convexity in Portfolio Problems
Characteristics of convexity, concavity, and nonconvexity in portfolio problems.
Related Information
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