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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

全部展开

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

Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR Object

The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.

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.

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.

概念

PortfolioCVaR Object Workflow

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.

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.