估计收益率的均值和协方差
评估投资组合资产收益率的均值和协方差,包括含缺失数据和金融时间序列数据的资产
在使用 Portfolio
对象的情况下,使用函数评估投资组合资产收益的均值和协方差,包括含缺失数据和金融时间序列数据的资产。
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 | 设置 Portfolio 对象资产收益的矩(均值和协方差) |
estimateAssetMoments | Estimate mean and covariance of asset returns from data |
setCosts | Set up proportional transaction costs for portfolio |
主题
投资组合优化
- 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 separateRiskFreeRate
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 aPortfolio
object to estimate efficient portfolios. - 使用 Financial Toolbox 的投资组合优化示例
通过一组示例来了解Portfolio
对象的主要功能。具体来说,这些示例使用Portfolio
对象来展示如何设置重点关注两基金分离定理、交易成本和换手率约束影响的均值-方差投资组合优化问题,如何获取最大化夏普比率的投资组合,以及如何建立两种流行的对冲基金策略(美元中性和 130/30 投资组合)。 - Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use thesetBudget
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 Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with thePortfolio
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. - Portfolio Optimization Using Social Performance Measure
Use aPortfolio
object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.
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。 - 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.