Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using Portfolio. For information on the workflow when using Portfolio objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Creating the Portfolio Object.

Objects

Portfolio Create Portfolio object for mean-variance portfolio optimization and analysis

Functions

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Portfolio Functions

`setAssetList`	Set up list of identifiers for assets
`setInitPort`	Set up initial or current portfolio
`setDefaultConstraints`	Set up portfolio constraints with nonnegative weights that sum to 1

Risk Parity Portfolio Functions

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

Covariance Estimation with Noise Reduction Functions

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

Topics

Portfolio Operations

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.

Portfolio Optimizations

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 Using Financial Toolbox
Follow a sequence of examples that highlight features of the Portfolio object.
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.

Covariance Estimation with Noise Reduction

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.

Portfolio Theory

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.
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.