创建投资组合

为均值-方差投资组合优化创建 Portfolio 对象

要创建完全指定的均值-方差投资组合优化问题，请使用 Portfolio 实例化 Portfolio 对象。有关使用 Portfolio 对象时的工作流的信息，请参阅 Portfolio 对象工作流。有关创建 Portfolio 对象的信息，请参阅创建 Portfolio 对象。

对象

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

函数

全部展开

投资组合函数

`setAssetList`	Set up list of identifiers for assets
`setInitPort`	Set up initial or current portfolio
`setDefaultConstraints`	使用总和为 1 的非负权重设置投资组合约束

风险平价投资组合函数

`portfolioRiskContribution`	Compute individual asset risk contribution to overall portfolio volatility (自 R2022a 起)
`riskBudgetingPortfolio`	Compute risk budgeting portfolios (自 R2022a 起)

采用降噪函数的协方差估计

`covarianceShrinkage`	Estimate covariance matrix using shrinkage estimators (自 R2023a 起)
`covarianceDenoising`	Estimate covariance matrix using denoising (自 R2023a 起)

主题

投资组合操作

创建 Portfolio 对象
要创建完全指定的均值-方差投资组合优化问题，请使用 Portfolio 函数实例化 Portfolio 对象。
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.

投资组合优化

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.
使用 Financial Toolbox 的投资组合优化示例
通过一组示例来了解 Portfolio 对象的主要功能。具体来说，这些示例使用 Portfolio 对象来展示如何设置重点关注两基金分离定理、交易成本和换手率约束影响的均值-方差投资组合优化问题，如何获取最大化夏普比率的投资组合，以及如何建立两种流行的对冲基金策略（美元中性和 130/30 投资组合）。
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 Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with the Portfolio class 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
Use a Portfolio object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.
Risk Budgeting Portfolio
This example shows how to use riskBudgetingPortfolio to create a risk budgeting portfolio and portfolioRiskContribution to compute the risk contribution of the assets in the portfolio.
Backtest Using Risk-Based Equity Indexation
This example shows how to use backtesting with a risk parity or equal risk contribution strategy rebalanced approximately every month as a risk-based indexation.
Create Hierarchical Risk Parity Portfolio
This example shows how to compute a hierarchical risk parity (HRP) portfolio.
Risk Parity or Budgeting with Constraints
This example shows how to solve risk parity or budgeting problems with constraints using estimateCustomObjectivePortfolio.
Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting
This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights.

采用降噪的协方差估计

Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting
This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights.
Comparison of Methods for Covariance Estimation
Comparison of methods to use for covariance estimation.

投资组合理论

投资组合优化理论
投资组合是构成资产池的资产可行集中的点。
Portfolio Object
Using the Portfolio object and associated functions for portfolio optimization.
默认投资组合问题
默认投资组合优化问题涉及与给定问题相关的风险收益代理，以及一个投资组合权重为非负且总和为 1 的投资组合集。
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.
Role of Convexity in Portfolio Problems
Characteristics of convexity, concavity, and nonconvexity in portfolio problems.