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

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`	Obtain mean and covariance of asset returns from Portfolio object
`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

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 the Portfolio class to define the limits on the sum(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.