估计有效投资组合和边界

分析投资组合的有效投资组合和有效边界

对象

PortfolioCVaR Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

函数

投资组合有效边界

`estimateFrontier`	估计有效边界上指定数量的最优投资组合
`estimateFrontierByReturn`	Estimate optimal portfolios with targeted portfolio returns
`estimateFrontierByRisk`	Estimate optimal portfolios with targeted portfolio risks
`estimateFrontierLimits`	Estimate optimal portfolios at endpoints of efficient frontier
`plotFrontier`	Plot efficient frontier

有效投资组合

`estimatePortVaR`	Estimate value-at-risk for PortfolioCVaR object
`estimatePortStd`	Estimate standard deviation of portfolio returns
`estimatePortReturn`	Estimate mean of portfolio returns
`estimatePortRisk`	Estimate portfolio risk according to risk proxy associated with corresponding object

求解器

`setSolver`	Choose main solver and specify associated solver options for portfolio optimization
`setSolverMINLP`	Choose mixed integer nonlinear programming (MINLP) solver for portfolio optimization

主题

投资组合优化

估计 PortfolioCVaR 对象整个边界上的有效投资组合
要获得最优投资组合，最基本的方法是获取整个有效边界范围上的各个点。
Obtaining Endpoints of the Efficient Frontier
Use the estimateFrontierLimits function to obtain the endpoint portfolios.
Obtaining Efficient Portfolios for Target Returns
To obtain efficient portfolios with targeted portfolio returns, the estimateFrontierByReturn function accepts one or more target portfolios returns and obtains efficient portfolios.
Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios with targeted portfolio risks, the estimateFrontierByRisk function accepts one or more target portfolio risks and obtains efficient portfolios.
获取整个有效边界上的投资组合
要获得最优投资组合，最基本的方法是获取整个有效边界范围上的各个点。
Estimate Efficient Frontiers for PortfolioCVaR Object
Given efficient portfolios, the functions estimatePortReturn and estimatePortRisk provide estimates for the return and risk.
Plotting the Efficient Frontier for a PortfolioCVaR Object
The plotFrontier function creates a plot of the efficient frontier for a given portfolio optimization problem.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with a PortfolioCVaR object.
Compute Maximum Reward-to-Risk Ratio for CVaR Portfolio
Create a PortfolioCVaR object and incorporate a list of assets from CAPMUniverse.mat.

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。
PortfolioCVaR 对象工作流
用于创建和建模条件风险值 (CVaR) 投资组合的 PortfolioCVaR 对象工作流。
Choosing and Controlling the Solver for PortfolioCVaR Optimizations
When solving portfolio optimizations for a PortfolioCVaR object, all variations of fmincon from Optimization Toolbox™ are supported.
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.

估计有效投资组合和边界

对象

函数

投资组合有效边界

有效投资组合

求解器

主题

投资组合优化

投资组合理论

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