Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.

The Portfolio object uses a separate RiskFreeRate property that stores the rate of return of a riskless asset.

The difference between net and gross portfolio returns is transaction costs.

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.

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

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.

This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.

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.

This example shows three techniques of asset diversification in a portfolio.