Estimate Efficient Portfolios and Frontiers
Portfolio object, you
can use estimate functions to analyze efficient portfolios and
efficient frontiers for a portfolio. For information on the workflow
Portfolio objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31
|Create Portfolio object for mean-variance portfolio optimization and analysis
Portfolio Efficient Frontiers
|Estimate specified number of optimal portfolios on the efficient frontier
|Estimate optimal portfolios with targeted portfolio returns
|Estimate optimal portfolios with targeted portfolio risks
|Estimate optimal portfolios at endpoints of efficient frontier
|Plot efficient frontier
|Estimate efficient portfolio to maximize Sharpe ratio for Portfolio object
|Estimate Sharpe ratio of given portfolio weights for Portfolio object
|Estimate moments of portfolio returns for Portfolio object
|Estimate mean of portfolio returns
|Estimate portfolio risk according to risk proxy associated with corresponding object
- Estimate Efficient Portfolios for Entire Efficient Frontier for Portfolio Object
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
- Obtaining Endpoints of the Efficient Frontier
Determine the range of returns from minimum to maximum to refine a search for a portfolio with a specific target return.
- Obtaining Efficient Portfolios for Target Returns
To obtain efficient portfolios that have targeted portfolio returns, use the
- Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios that have targeted portfolio risks, use the
- Efficient Portfolio That Maximizes Sharpe Ratio
Portfolios that maximize the Sharpe ratio are portfolios on the efficient frontier that satisfy several theoretical conditions in finance.
- Estimate Efficient Frontiers for Portfolio Object
Given any portfolio, the functions
estimatePortMomentsprovide estimates for the return and risk.
- Obtaining Portfolios Along the Entire Efficient Frontier
Obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
- Plotting the Efficient Frontier for a Portfolio Object
plotFrontierfunction creates a plot of the efficient frontier for a given portfolio optimization problem.
- Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a
Portfolioobject to estimate efficient portfolios.
- Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of the
- Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the
setBudgetfunction for the
Portfolioclass to define the limits on the
sum(AssetWeight_i)in risky assets.
- Mixed-Integer Quadratic Programming Portfolio Optimization: Problem-Based
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach.
- Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with the
Portfolioclass 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.
- Diversify ESG Portfolios
This example shows how to include qualitative factors for environmental, social, and corporate governance (ESG) in the portfolio selection process.
- Bond Portfolio Optimization Using Portfolio Object
This example shows how to use a
Portfolioobject to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month.
- Mixed-Integer Mean-Variance Portfolio Optimization Problem
This example shows how to solve a mean-variance portfolio optimization problem with constraints in the number of selected assets or conditional (semicontinuous) bounds.
- Choose MINLP Solvers for Portfolio Problems
Tables listing types of MINLP solvers that you can select to find the solution to different portfolio problems.
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
- Portfolio Object Workflow
Portfolio object workflow for creating and modeling a mean-variance portfolio.
- Choosing and Controlling the Solver for Mean-Variance Portfolio Optimization
The default solver for mean-variance portfolio optimization is
- 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.
- Troubleshooting Portfolio Optimization Results
Resources for troubleshooting portfolio optimization results.