Estimate Mean and Covariance for Returns
Evaluate mean and covariance for portfolio asset returns, including assets with missing data and financial time series data
Working with a Portfolio
object, use
functions to evaluate the mean and covariance for portfolio asset
returns, including assets with missing data and financial time
series data.
Objects
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Functions
getAssetMoments | Obtain mean and covariance of asset returns from Portfolio object |
setAssetMoments | Set moments (mean and covariance) of asset returns for Portfolio object |
estimateAssetMoments | Estimate mean and covariance of asset returns from data |
setCosts | Set up proportional transaction costs for portfolio |
Topics
Portfolio Optimizations
- Asset Returns and Moments of Asset Returns Using Portfolio Object
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns. - Working with a Riskless Asset
The Portfolio object uses a separateRiskFreeRate
property that stores the rate of return of a riskless asset. - Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs. - 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. - 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.
Portfolio Theory
- 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. - 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.