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
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. - 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, andestimatePortMomentsprovide 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
This example shows how to use theplotFrontierfunction to create 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 aPortfolioobject to estimate efficient portfolios. - Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of thePortfolioobject. - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudgetfunction for thePortfolioclass 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 thePortfolioclass 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 aPortfolioobject 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.
