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`	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

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 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 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.
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 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.
Portfolio Optimization Using Social Performance Measure
Use a Portfolio 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.

估计收益率的均值和协方差

对象

函数

主题

投资组合优化

投资组合理论

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