估计收益率的均值和协方差
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
getAssetMoments | 从 Portfolio 对象获取资产收益的均值和协方差 |
setAssetMoments | Set moments (mean and covariance) of asset returns for Portfolio object |
estimateAssetMoments | Estimate mean and covariance of asset returns from data |
setCosts | Set up proportional transaction costs for portfolio |
示例和操作指南
- Asset Returns and Moments of Asset Returns Using Portfolio Object
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
- Working with a Riskless Asset
The Portfolio object uses a separate
RiskFreeRate
property that stores the rate of return of a riskless asset. - Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
- 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. - 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。
- 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.