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
通过 Portfolio 对象，您可以使用估计函数分析有效投资组合以及投资组合的有效边界。有关使用 Portfolio 对象时的工作流的信息，请参阅 Portfolio 对象工作流。有关创建 Portfolio 对象的信息，请参阅投资组合优化入门（13 分 31 秒）
对象
Portfolio | 创建 Portfolio 对象以进行均值-方差投资组合优化和分析 |
函数
主题
投资组合优化
- 估计 Portfolio 对象整个有效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
Determine the range of returns from minimum to maximum to refine a search for a portfolio with a specific target return. - Obtaining Efficient Portfolios for Target Returns
This example shows how to obtain efficient portfolios that have targeted portfolio returns using theestimateFrontierByReturnfunction. - Obtaining Efficient Portfolios for Target Risks
This example shows how to obtain efficient portfolios that have targeted portfolio risks using theestimateFrontierByRiskfunction. - 最大化夏普比率的有效投资组合
最大化夏普比率的投资组合是指在有效边界上满足若干金融理论条件的投资组合。 - Estimate Efficient Frontiers for Portfolio Object
Given any portfolio, the functionsestimatePortReturn,estimatePortRisk, andestimatePortMomentsprovide estimates for the return and risk. - 获取整个有效边界上的投资组合
获得最优投资组合就是获取整个有效边界范围上的各个点。 - Plotting the Efficient Frontier for a Portfolio Object
This example shows how to use theplotFrontierfunction to create a plot of the efficient frontier for a given portfolio optimization problem. - Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with aPortfolioobject to estimate efficient portfolios. - 使用 Financial Toolbox 的投资组合优化示例
通过一组示例来了解Portfolio对象的主要功能。具体来说，这些示例使用Portfolio对象来展示如何设置重点关注两基金分离定理、交易成本和换手率约束影响的均值-方差投资组合优化问题，如何获取最大化夏普比率的投资组合，以及如何建立两种流行的对冲基金策略（美元中性和 130/30 投资组合）。 - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudgetfunction for thePortfolioclass to define the limits on thesum(AssetWeight_i)in risky assets. - 混合整数二次规划投资组合优化：基于问题
此示例说明如何使用基于问题的方法来求解混合整数二次规划 (MIQP) 投资组合优化问题。 - Black-Litterman Portfolio Optimization Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with thePortfolioclass in Financial Toolbox™. - Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework. - Diversify ESG Portfolios
This example shows how to include qualitative factors for environmental, social, and corporate governance (ESG) in the portfolio selection process. - Bond Portfolio Optimization Using Portfolio Object
This example shows how to use aPortfolioobject to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month. - 混合整数均值-方差投资组合优化问题
此示例说明如何求解具有选定资产数量或条件（半连续）边界约束的均值方差投资组合优化问题。若要求解此问题，您可以使用Portfolio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。 - Portfolio 对象工作流
用于创建和建模均值-方差投资组合的 Portfolio 对象工作流。 - Choosing and Controlling the Solver for Mean-Variance Portfolio Optimization
The default solver for mean-variance portfolio optimization islcprog. - 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. - Troubleshooting Portfolio Optimization Results
Resources for troubleshooting portfolio optimization results.
