Estimate Efficient Portfolios and Frontiers
Analyze efficient portfolios and efficient frontiers for portfolio
Working with a PortfolioCVaR object,
use functions to analyze the efficient portfolios and efficient
frontiers for a portfolio.
Objects
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
Functions
Topics
Portfolio Optimizations
- Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR 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
Use theestimateFrontierLimitsfunction to obtain the endpoint portfolios. - Obtaining Efficient Portfolios for Target Returns
This example shows how to obtain efficient portfolios that have targeted portfolio returns using theestimateFrontierByReturnfunction. - Obtaining Efficient Portfolios for Target Risks
This example shows how to obtain efficient portfolios that have targeted portfolio risks using theestimateFrontierByRiskfunction. - Obtaining Portfolios Along the Entire Efficient Frontier
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier. - Estimate Efficient Frontiers for PortfolioCVaR Object
Given efficient portfolios, the functionsestimatePortReturnandestimatePortRiskprovide estimates for the return and risk. - Plotting the Efficient Frontier for a PortfolioCVaR Object
This example shows how to use theplotFrontierfunction creates a plot of the efficient frontier for a given portfolio optimization problem. - Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints. - Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with aPortfolioCVaRobject. - Compute Maximum Reward-to-Risk Ratio for CVaR Portfolio
Create aPortfolioCVaRobject and incorporate a list of assets fromCAPMUniverse.mat. - Mixed-Integer CVaR Portfolio Optimization Problem
This example shows how to solve a CVaR portfolio optimization problem with constraints in the number of selected assets or conditional (semicontinuous) bounds. - Choose MINLP Solvers for Portfolio Problems
Tables listing types of MINLP solvers that you can select to find the solution to different portfolio problems.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio. - Choosing and Controlling the Solver for PortfolioCVaR Optimizations
When solving portfolio optimizations for a PortfolioCVaR object, all variations offminconfrom Optimization Toolbox™ are supported. - 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.
