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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

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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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
estimateMaxSharpeRatio 估计有效投资组合以最大化 Portfolio 对象的夏普比率
estimatePortSharpeRatioEstimate Sharpe ratio of given portfolio weights for Portfolio object
estimatePortMoments 估计 Portfolio 对象的投资组合收益矩
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

概念