Estimate Mean and Covariance for Returns
Evaluate mean and covariance for portfolio asset returns, including assets with missing data and financial time series data
|Create Portfolio object for mean-variance portfolio optimization and analysis|
|Obtain mean and covariance of asset returns from Portfolio object|
|Set moments (mean and covariance) of asset returns for Portfolio object|
|Estimate mean and covariance of asset returns from data|
|Set up proportional transaction costs for portfolio|
- Asset Returns and Moments of Asset Returns Using Portfolio Object
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
- Working with a Riskless Asset
The Portfolio object uses a separate
RiskFreeRateproperty that stores the rate of return of a riskless asset.
- Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
- Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a
Portfolioobject to estimate efficient portfolios.
- Portfolio Optimization Examples Using Financial Toolbox™
Follow a sequence of examples that highlight features of the
- Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the
setBudgetfunction for the
Portfolioclass to define the limits on the
sum(AssetWeight_i)in risky assets.
- Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
- Black-Litterman Portfolio Optimization Using Financial Toolbox™
This example shows the workflow to implement the Black-Litterman model with the
Portfolioclass 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.
- Portfolio Optimization Using Social Performance Measure
Portfolioobject to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.
- 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.
- 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.