Estimate Efficient Portfolios and Frontiers

Analyze efficient portfolios and efficient frontiers for portfolio

Using a Portfolio object, you can use estimate functions to analyze efficient portfolios and efficient frontiers for a portfolio. For information on the workflow when using Portfolio objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31 sec)

Objects

Portfolio Create Portfolio object for mean-variance 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

`estimateMaxSharpeRatio`	Estimate efficient portfolio to maximize Sharpe ratio for Portfolio object
`estimatePortSharpeRatio`	Estimate Sharpe ratio of given portfolio weights for Portfolio object
`estimatePortMoments`	Estimate moments of portfolio returns for Portfolio object
`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 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, 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.
Mixed-Integer Quadratic Programming Portfolio Optimization: Problem-Based
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach.
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.
Mixed-Integer Mean-Variance Portfolio Optimization Problem
This example shows how to solve a mean-variance 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.
Portfolio Object Workflow
Portfolio object workflow for creating and modeling a mean-variance portfolio.
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.

Related Information

Getting Started with Portfolio Optimization (4 min 13 sec)