投资组合分析
投资组合管理者专注于实现风险和收益之间的最佳平衡。对于基于一组固定资产构建的投资组合，风险/收益状况随投资组合的构成而变化。在给定风险下使收益率最大化的投资组合，或在给定收益率下使风险最小化的投资组合，称为最优投资组合。最优投资组合将风险/收益平面中的一条线定义为有效边界。有关投资组合优化的信息，请参阅Portfolio Optimization Functions。
函数
ewstats | Expected return and covariance from return time series |
frontier | Rolling efficient frontier |
portalloc | Optimal capital allocation to efficient frontier portfolios |
portror | Portfolio expected rate of return |
selectreturn | Portfolio configurations from 3-D efficient frontier |
targetreturn | Portfolio weight accuracy |
portrand | Randomized portfolio risks, returns, and weights |
portopt | 约束有效边界上的投资组合 |
portsim | Monte Carlo simulation of correlated asset returns |
portstats | 投资组合的预期收益和风险 |
portvar | 资产投资组合的方差 |
portvrisk | 投资组合的在险价值 (VaR) |
periodicreturns | Periodic total returns from total return prices |
totalreturnprice | Total return price time series |
adjustedClosingPrices | Adjust closing stock prices for splits and cash dividends (自 R2024a 起) |
rollingreturns | Period-over-period rolling returns or differences from prices |
addBusinessCalendar | Add business calendar awareness to timetables |
主题
- Using Extreme Value Theory and Copula Fitting to Generate Synthetic Data
This example shows the workflow for generating synthetic equity index return data using Extreme Value Theory (EVT) and a copula model.
- 投资组合构建示例
这些示例说明如何在有效边界上构建投资组合。
- Portfolio Selection and Risk Aversion
One of the factors to consider when selecting the optimal portfolio for a particular investor is the degree of risk aversion.
- Active Returns and Tracking Error Efficient Frontier
This example shows how to minimize the variance of the difference in returns with respect to a given target portfolio.
- Plotting an Efficient Frontier Using portopt
This example shows how to use
portoptto plot the efficient frontier of a hypothetical portfolio of three assets. - 绘制期权的敏感度
此示例创建一个三维绘图，该图显示布莱克-斯科尔斯期权的 gama 相对于价格如何变化。
- Plotting Sensitivities of a Portfolio of Options
This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.
- portopt Migration to Portfolio Object
These examples show how to migrate
portoptto a Portfolio object. - Analyzing Portfolios
For portfolios constructed from a fixed set of assets, the risk and return profile varies with the portfolio composition.
- Portfolio Optimization Functions
Financial Toolbox™ functions for portfolio optimization.
