Estimate Efficient Portfolios and Frontiers
Analyze efficient portfolios and efficient frontiers for portfolio
Using a Portfolio
object, you
can use estimate functions to analyze efficient portfolios and
efficient frontiers for a portfolio. For information on the workflow
when using Portfolio
objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31
sec)
Objects
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Functions
Topics
Portfolio Optimizations
- 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 theestimateFrontierByReturn
function. - Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios that have targeted portfolio risks, use theestimateFrontierByRisk
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 functionsestimatePortReturn
,estimatePortRisk
, andestimatePortMoments
provide estimates for the return and risk. - Obtaining Portfolios Along the Entire Efficient Frontier
Obtain optimal portfolios is to obtain points over the entire range of the efficient frontier. - Plotting the Efficient Frontier for a Portfolio Object
TheplotFrontier
function creates a plot of the efficient frontier for a given portfolio optimization problem. - Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with aPortfolio
object to estimate efficient portfolios. - Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of thePortfolio
object. - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudget
function for thePortfolio
class to define the limits on thesum(AssetWeight_i)
in risky assets. - Mixed-Integer Quadratic Programming Portfolio Optimization: Problem-Based
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach. - Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with thePortfolio
class in Financial Toolbox™. - Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework. - Diversify ESG Portfolios
This example shows how to include qualitative factors for environmental, social, and corporate governance (ESG) in the portfolio selection process. - Bond Portfolio Optimization Using Portfolio Object
This example shows how to use aPortfolio
object to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month. - Mixed-Integer Mean-Variance Portfolio Optimization Problem
This example shows how to solve a mean-variance 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. - Portfolio Object Workflow
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 islcprog
. - 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. - Troubleshooting Portfolio Optimization Results
Resources for troubleshooting portfolio optimization results.