Portfolio Analysis

Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR)

Portfolio managers concentrate their efforts on achieving the best possible trade-off between risk and return. For portfolios constructed from a fixed set of assets, the risk/return profile varies with the portfolio composition. Portfolios that maximize the return, given the risk, or, conversely, minimize the risk for the given return, are called optimal. Optimal portfolios define a line in the risk/return plane called the efficient frontier. For information on portfolio optimization, see Portfolio Optimization Functions.

Functions

`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`	Portfolios on constrained efficient frontier
`portsim`	Monte Carlo simulation of correlated asset returns
`portstats`	Portfolio expected return and risk
`portvar`	Variance for portfolio of assets
`portvrisk`	Portfolio value at risk (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 (Since R2024a)
`rollingreturns`	Period-over-period rolling returns or differences from prices (Since R2020b)
`addBusinessCalendar`	Add business calendar awareness to timetables (Since R2020b)

Topics

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.
Portfolio Construction Examples
These examples show how to construct portfolios on the efficient frontier.
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 plots the efficient frontier of a hypothetical portfolio of three assets.
Plotting Sensitivities of an Option
This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
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 portopt to 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.