Portfolio Object Workflow
Portfolio object workflow for creating and modeling a
mean-variance portfolio is:
Create a Portfolio.
Estimate the mean and covariance for returns.
Evaluate the mean and covariance for portfolio asset returns, including assets with missing data and financial time series data. For more information, see Asset Returns and Moments of Asset Returns Using Portfolio Object.
Specify the Portfolio Constraints.
Define the constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, turnover, tracking error,
MaxNumAssetsconstraints. For more information, see Working with Portfolio Constraints Using Defaults and Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects.
Validate the Portfolio.
Identify errors for the portfolio specification. For more information, see Validate the Portfolio Problem for Portfolio Object.
Estimate the efficient portfolios and frontiers.
Analyze the efficient portfolios and efficient frontiers for a portfolio. For more information, see Estimate Efficient Portfolios for Entire Efficient Frontier for Portfolio Object and Estimate Efficient Frontiers for Portfolio Object.
Postprocess the results.
Use the efficient portfolios and efficient frontiers results to set up trades. For more information, see Postprocessing Results to Set Up Tradable Portfolios.
- Asset Allocation Case Study
- Portfolio Optimization Examples
- Portfolio Optimization with Semicontinuous and Cardinality Constraints
- Black-Litterman Portfolio Optimization
- Portfolio Optimization Using Factor Models
- Portfolio Optimization Using a Social Performance Measure
- Diversification of Portfolios