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分析投资组合的收益率方差和协方差,模拟资产的相关性,计算投资组合的风险值 (VaR)

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


ewstatsExpected return and covariance from return time series
frontierRolling efficient frontier
portallocOptimal capital allocation to efficient frontier portfolios
portrorPortfolio expected rate of return
selectreturnPortfolio configurations from 3-D efficient frontier
targetreturnPortfolio weight accuracy
portrandRandomized portfolio risks, returns, and weights
portoptPortfolios on constrained efficient frontier
portsimMonte Carlo simulation of correlated asset returns
portstatsPortfolio expected return and risk
portvarVariance for portfolio of assets
portvriskPortfolio value at risk (VaR)
periodicreturnsPeriodic total returns from total return prices
totalreturnpriceTotal return price time series
rollingreturnsPeriod-over-period rolling returns or differences from prices
addBusinessCalendarAdd business calendar awareness to timetables


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.

frontcon Migration to Portfolio Object

These examples show how to migrate frontcon 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.