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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

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

函数

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estimateFrontierEstimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturnEstimate optimal portfolios with targeted portfolio returns
estimateFrontierByRiskEstimate optimal portfolios with targeted portfolio risks
estimateFrontierLimitsEstimate optimal portfolios at endpoints of efficient frontier
plotFrontierPlot efficient frontier
estimatePortVaREstimate value-at-risk for PortfolioCVaR object
estimatePortStdEstimate standard deviation of portfolio returns
estimatePortReturnEstimate mean of portfolio returns
estimatePortRiskEstimate portfolio risk according to risk proxy associated with corresponding object
setSolverChoose main solver and specify associated solver options for portfolio optimization
setSolverMINLPChoose mixed integer nonlinear programming (MINLP) solver for portfolio optimization

示例和操作指南

概念