selectreturn

Portfolio configurations from 3-D efficient frontier

Syntax

PortConfigs = selectreturn(AllMean,AllCovariance,Target)

Description

PortConfigs = selectreturn(AllMean,AllCovariance,Target) returns the portfolio configurations (PortConfigs) for a target return given the average return and covariance for a rolling efficient frontier.

Input Arguments

AllMean — Expected asset returns used to generate each curve on surface

vector

Expected asset returns used to generate each curve on the surface, specified as a number of curves (NCURVES-by-1 cell array), where each element is a 1-by-NASSETS (number of assets) vector

Data Types: double

AllCovariance — Covariance matrix used to generate each curve on surface

cell array

Covariance matrix used to generate each curve on the surface, specified as an NCURVES-by-1 cell array where each element is an NASSETS-by-NASSETS vector.

Data Types: cell

Target — Target return value for each curve in the frontier

numeric

Target return value for each curve in the frontier, specified as a numeric.

Data Types: double

Output Arguments

PortConfigs — Asset allocation weights needed to obtain target rate of return

matrix

Asset allocation weights needed to obtain the target rate of return, returned as an NASSETS-by-NCURVES matrix.

Version History

Introduced before R2006a