估计有效投资组合和边界
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
示例和操作指南
- Estimate Efficient Portfolios for Entire Efficient Frontier for Portfolio 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
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. - Efficient Portfolio That Maximizes Sharpe Ratio
Portfolios that maximize the Sharpe ratio are portfolios on the efficient frontier that satisfy several theoretical conditions in finance.
- Estimate Efficient Frontiers for Portfolio Object
Given any portfolio, the functions
estimatePortReturn
,estimatePortRisk
, andestimatePortMoments
provide estimates for the return and risk. - 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
The following sequence of examples highlights features of the
Portfolio
object in the Financial Toolbox™. - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the
setBudget
function for thePortfolio
class 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。
- Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
- Black-Litterman Portfolio Optimization
This example shows the workflow to implement the Black-Litterman model with the
Portfolio
class. - Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.
- Portfolio Optimization Using a Social Performance Measure
This example shows how to use a
Portfolio
object for portfolio optimization that includes a social performance measure for the percentage of women on a company's board. - Diversification of Portfolios
This example shows three techniques of asset diversification in a portfolio.
概念
- 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.