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

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投资组合有效边界

`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

有效投资组合

`estimateMaxSharpeRatio`	估计有效投资组合以最大化 Portfolio 对象的夏普比率
`estimatePortSharpeRatio`	Estimate Sharpe ratio of given portfolio weights for Portfolio object
`estimatePortMoments`	估计 Portfolio 对象的投资组合收益矩
`estimatePortReturn`	Estimate mean of portfolio returns
`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 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
To obtain efficient portfolios that have targeted portfolio returns, use the estimateFrontierByReturn function.
Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios that have targeted portfolio risks, use the estimateFrontierByRisk function.
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 functions estimatePortReturn, estimatePortRisk, and estimatePortMoments provide estimates for the return and risk.
Obtaining Portfolios Along the Entire Efficient Frontier
Obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
Plotting the Efficient Frontier for a Portfolio Object
The plotFrontier function creates 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 a Portfolio object to estimate efficient portfolios.
Portfolio Optimization Examples Using Financial Toolbox™
Follow a sequence of examples that highlight features of the Portfolio object.
Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the setBudget function for the Portfolio class to define the limits on the sum(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 the Portfolio class 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 a Portfolio object to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month.

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 is lcprog.
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.

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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