Portfolio Analysis

Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR)

Portfolio managers concentrate their efforts on achieving the best possible trade-off between risk and return. For portfolios constructed from a fixed set of assets, the risk/return profile varies with the portfolio composition. Portfolios that maximize the return, given the risk, or, conversely, minimize the risk for the given return, are called optimal. Optimal portfolios define a line in the risk/return plane called the efficient frontier. For information on portfolio optimization, see Portfolio Optimization Functions.

Functions

ewstatsExpected return and covariance from return time series
frontierRolling efficient frontier
portallocOptimal capital allocation to efficient frontier portfolios
portrorPortfolio expected rate of return
selectreturnPortfolio configurations from 3-D efficient frontier
targetreturnPortfolio weight accuracy
portrandRandomized portfolio risks, returns, and weights
portoptPortfolios on constrained efficient frontier
portsimMonte Carlo simulation of correlated asset returns
portstatsPortfolio expected return and risk
portvarVariance for portfolio of assets
portvriskPortfolio value at risk (VaR)
periodicreturnsPeriodic total returns from total return prices
totalreturnpriceTotal return price time series
adjustedClosingPricesAdjust closing stock prices for splits and cash dividends (Since R2024a)
rollingreturnsPeriod-over-period rolling returns or differences from prices
addBusinessCalendarAdd business calendar awareness to timetables

Topics