Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Estimate Efficient Portfolios for Entire Efficient Frontier for Portfolio Object
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
Obtaining Endpoints of the Efficient Frontier
Determine the range of returns from minimum to maximum to refine a search for a portfolio with a specific target return.
Obtaining Efficient Portfolios for Target Returns
To obtain efficient portfolios that have targeted
portfolio returns, use the estimateFrontierByReturn
function.
Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios that have targeted
portfolio risks, use the estimateFrontierByRisk
function.
Efficient Portfolio That Maximizes Sharpe Ratio
Portfolios that maximize the Sharpe ratio are portfolios on the efficient frontier that satisfy several theoretical conditions in finance.
Estimate Efficient Frontiers for Portfolio Object
Given any portfolio, the functions estimatePortReturn
, estimatePortRisk
,
and estimatePortMoments
provide estimates for the
return and risk.
Plotting the Efficient Frontier for a Portfolio Object
The plotFrontier
function creates
a plot of the efficient frontier for a given portfolio optimization
problem.
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.
Portfolio Optimization Examples
The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.
Leverage in Portfolio Optimization with a Risk-Free Asset
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.
Mixed-Integer Quadratic Programming Portfolio Optimization: Problem-Based (Optimization Toolbox)
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio
object to directly handle semicontinuous and cardinality constraints when performing portfolio optimization.
Black-Litterman Portfolio Optimization
This example shows the workflow to implement the Black-Litterman model with the Portfolio
class.
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 object workflow for creating and modeling a mean-variance portfolio.
Choosing and Controlling the Solver for Mean-Variance Portfolio Optimization
The default solver for mean-variance portfolio optimization is
lcprog
.