Estimate Mean and Covariance for Returns
|Create Portfolio object for mean-variance portfolio optimization and analysis|
Examples and How To
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
The Portfolio object uses a separate
that stores the rate of return of a riskless asset.
The difference between net and gross portfolio returns is transaction costs.
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a
Portfolio object to estimate efficient portfolios.
The following sequence of examples highlights features of the
Portfolio object in the Financial Toolbox™.
This example shows how to use the
setBudget function for the
Portfolio class to define the limits on the
sum(AssetWeight_i) in risky assets.
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
This example shows the workflow to implement the Black-Litterman model with the
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.
This example shows how to use a
Portfolio object for portfolio optimization that includes a social performance measure for the percentage of women on a company's board and group constraints.
This example shows three techniques of asset diversification in a portfolio.
Portfolio object workflow for creating and modeling a mean-variance portfolio.
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.