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 | Portfolios on constrained efficient frontier |
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 | 投资组合的风险值 (VaR) |
periodicreturns | Periodic total returns from total return prices |
totalreturnprice | Total return price time series |
rollingreturns | Period-over-period rolling returns or differences from prices |
addBusinessCalendar | Add business calendar awareness to timetables |
主题
- 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.