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

在使用 PortfolioCVaR 对象的情况下，使用函数分析有效的投资组合以及投资组合的有效边界。

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`	绘制有效边界

有效投资组合

`estimatePortVaR`	估计 PortfolioCVaR 对象的风险值
`estimatePortStd`	Estimate standard deviation of portfolio returns
`estimatePortReturn`	估计投资组合收益均值
`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.
计算 CVaR 投资组合的最大收益风险比
创建一个 PortfolioCVaR 对象并整合来自 CAPMUniverse.mat 的资产列表。使用 simulateNormalScenariosByData 来模拟每个资产的场景。这些投资组合约束要求满仓纯多头的投资组合（非负权重之和必须为 1）。
混合整数 CVaR 投资组合优化问题
此示例说明如何求解具有选定资产数量或条件（半连续）边界约束的 CVaR 投资组合优化问题。若要求解此问题，您可以使用 PortfolioCVaR 对象以及不同的混合整数非线性规划 (MINLP) 求解器。
Choose MINLP Solvers for Portfolio Problems
Tables listing types of MINLP solvers that you can select to find the solution to different portfolio problems.

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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