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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

PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis

Functions

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estimateFrontierEstimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturnEstimate optimal portfolios with targeted portfolio returns
estimateFrontierByRiskEstimate optimal portfolios with targeted portfolio risks
estimateFrontierLimitsEstimate optimal portfolios at endpoints of efficient frontier
plotFrontierPlot efficient frontier
estimateMaxSharpeRatio Estimate efficient portfolio to maximize Sharpe ratio for Portfolio object
estimatePortSharpeRatioEstimate Sharpe ratio of given portfolio weights for Portfolio object
estimatePortMoments Estimate moments of portfolio returns for Portfolio object
estimatePortReturnEstimate mean of portfolio returns
estimatePortRiskEstimate portfolio risk according to risk proxy associated with corresponding object
setSolverChoose main solver and specify associated solver options for portfolio optimization
setSolverMINLPChoose mixed integer nonlinear programming (MINLP) solver for portfolio optimization

Topics

Portfolio Optimizations

Portfolio Theory