Portfolios on constrained efficient frontier
portopt
has been partially removed and will no longer accept
ConSet
or varargin
arguments. Use Portfolio
instead to solve portfolio problems that are more than a
long-only fully-invested portfolio. For information on the workflow when using
Portfolio
objects, see Portfolio Object Workflow. For more information on migrating
portopt
code to Portfolio
, see portopt Migration to Portfolio Object.
[
sets up the most basic portfolio problem with weights greater than or equal to
PortRisk
,PortReturn
,PortWts
] = portopt(ExpReturn
,ExpCovariance
)0
that must sum to 1
. All that is
necessary to solve this problem is the mean and covariance of asset returns. By
default, portopt
returns 10 equally-spaced points on the
efficient frontier.
portopt
solves the "standard" mean-variance portfolio
optimization problem for a long-only fully-invested investor with no additional
constraints. Specifically, every portfolios on the efficient frontier has
non-negative weights that sum to 1.
[
specifies options using one or more optional arguments in addition to the input
arguments in the previous syntax.PortRisk
,PortReturn
,PortWts
] = portopt(___,NumPorts
,PortReturn
)
portopt(___,
returns a plot of the efficient frontier if NumPorts
,PortReturn
)portopt
is invoked
with no output arguments.