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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

PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis

Functions

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setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
portfolioRiskContributionCompute individual asset risk contribution to overall portfolio volatility
riskBudgetingPortfolioCompute risk budgeting portfolios

Topics

Portfolio Operations

Portfolio Optimizations

Portfolio Theory