setAssetMoments

Set moments (mean and covariance) of asset returns for Portfolio object

Description

example

obj = setAssetMoments(obj,AssetMean) obtains mean and covariance of asset returns for a Portfolio object. For details on the workflow, see Portfolio Object Workflow.

example

obj = setAssetMoments(obj,AssetMean,AssetCovar,NumAssets) obtains mean and covariance of asset returns for a Portfolio object with additional options for AssetCovar and NumAssets.

Examples

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Set the asset moment properties, given the mean and covariance of asset returns in the variables m and C.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0;
0.00408 0.0289 0.0204 0.0119;
0.00192 0.0204 0.0576 0.0336;
0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

p = Portfolio;
p = setAssetMoments(p, m, C);
[assetmean, assetcovar] = getAssetMoments(p)
assetmean = 4×1

0.0042
0.0083
0.0100
0.0150

assetcovar = 4×4

0.0005    0.0003    0.0002         0
0.0003    0.0024    0.0017    0.0010
0.0002    0.0017    0.0048    0.0028
0    0.0010    0.0028    0.0102

Input Arguments

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Object for portfolio, specified using a Portfolio object. For more information on creating a portfolio object, see

Data Types: object

Mean of asset returns, specified as a vector.

Note

If AssetMean is a scalar and the number of assets is known, scalar expansion occurs. If the number of assets cannot be determined, this method assumes that NumAssets = 1.

Data Types: double

Covariance of asset returns, specified as a symmetric positive semidefinite matrix.

Note

• If AssetCovar is a scalar and the number of assets is known, a diagonal matrix is formed with the scalar value along the diagonals. If it is not possible to determine the number of assets, this method assumes that NumAssets = 1.

• If AssetCovar is a vector, a diagonal matrix is formed with the vector along the diagonal.

• If AssetCovar is not a symmetric positive semidefinite matrix, use nearcorr to create a positive semidefinite matrix for a correlation matrix.

Data Types: double

Number of assets, specified as an integer.

Note

If NumAssets is not already set in the object, NumAssets can be entered to resolve array expansions with AssetMean or AssetCovar.

Data Types: double

Output Arguments

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Updated portfolio object, returned as a Portfolio object. For more information on creating a portfolio object, see

Tips

• You can also use dot notation to set moments (mean and covariance) of the asset returns.

obj = obj.setAssetMoments(obj, AssetMean, AssetCovar, NumAssets);

• To clear NumAssets and AssetCovar, use this function to set these respective inputs to [].

Introduced in R2011a