Main Content

本页的翻译已过时。点击此处可查看最新英文版本。

投资组合分析

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

函数

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
portvar资产投资组合的方差
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

示例和操作指南

概念