Estimate Efficient Portfolios and Frontiers

Analyze efficient portfolios and efficient frontiers for portfolio

Working with a PortfolioCVaR object, use functions to analyze the efficient portfolios and efficient frontiers for a portfolio.

Objects

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

Functions

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Portfolio Efficient Frontiers

`estimateFrontier`	Estimate specified number of optimal portfolios on the efficient frontier
`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

Efficient Portfolios

`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

Solver

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

Topics

Portfolio Optimizations

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.
Obtaining Portfolios Along the Entire Efficient Frontier
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
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.
Mixed-Integer CVaR Portfolio Optimization Problem
This example shows how to solve a CVaR portfolio optimization problem with constraints in the number of selected assets or conditional (semicontinuous) bounds.
Choose MINLP Solvers for Portfolio Problems
Tables listing types of MINLP solvers that you can select to find the solution to different portfolio problems.

Portfolio Theory

Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
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.
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.