Working with a Riskless Asset

The PortfolioCVaR object has a separate RiskFreeRate property that stores the rate of return of a riskless asset. Thus, you can separate your universe into a riskless asset and a collection of risky assets. For example, assume that your riskless asset has a return in the scalar variable r0, then the property for the RiskFreeRate is set using the PortfolioCVaR object:

r0 = 0.01/12;

p = PortfolioCVaR;
p = PortfolioCVaR('RiskFreeRate', r0);
disp(p.RiskFreeRate)

8.3333e-04

Note

If your portfolio problem has a budget constraint such that your portfolio weights must sum to 1, then the riskless asset is irrelevant.