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为均值-方差投资组合优化创建 Portfolio 对象

有关创建 Portfolio 对象的信息,请参阅 Getting Started with Portfolio Optimization (13 min 31 sec)


Portfolio创建 Portfolio 对象以进行均值-方差投资组合优化和分析


setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1


Creating the Portfolio Object

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.

Common Operations on the Portfolio Object

Common operations for setting up a Portfolio object.

Setting Up an Initial or Current Portfolio

The Portfolio object property InitPort lets you identify an initial or current portfolio.

Setting Up a Tracking Portfolio

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

Asset Allocation Case Study

This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.

Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

Portfolio Optimization Against a Benchmark

This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.

Leverage in Portfolio Optimization with a Risk-Free Asset

This example shows how to use the setBudget function for the Portfolio class 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

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

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 Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

Portfolio Object

Using the Portfolio object and associated functions for portfolio optimization.

Default Portfolio Problem

The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to 1.

Portfolio Object Workflow

Portfolio object workflow for creating and modeling a mean-variance portfolio.