Randomized portfolio risks, returns, and weights
returns the risks, rates of return, and weights of random portfolio configurations.
Portfolios are selected at random from a set of portfolios such that portfolio
weights are nonnegative and sum to 1. The sample mean and covariance of asset
returns are used to compute portfolio returns for each random portfolio.
PortWts] = portrand(
An alternative for portfolio optimization is to use the
Portfolio object for
mean-variance portfolio optimization. This object supports gross or net
portfolio returns as the return proxy, the variance of portfolio returns as
the risk proxy, and a portfolio set that is any combination of the specified
constraints to form a portfolio set. For information on the workflow when
Portfolio objects, see Portfolio Object Workflow.
Asset — Financial time series data
Financial time series data, specified as a matrix where each row is an observation and each column represents a single security.
Return — Rate of return for corresponding security in
Return computed by taking average value
of each column of
(default) | row vector
(Optional) Rate of return for corresponding security in
Asset, specified as a row vector,where each column
represents the rate of return for the corresponding security.
Points — Defines number of random points generated
(default) | numeric
(Optional) Defines number of random points generated, specified as a numeric.
Method — Method to generate random portfolios from set of portfolios
(default) | character vector with value
(Optional) Method to generate random portfolios from set of portfolios, specified as a character vector for one of the following:
'uniform'— Portfolio weights are generated that are uniformly distributed on the set of portfolio weights.
'geometric'— Portfolio weights are generated that are concentrated around the geometric center of the set of portfolio weights.
'geometric' methods generate weights that are
distributed symmetrically around the geometric center of the set of
PortRisk — Portfolio risk
Portfolio risk, returned as a
1 vector of standard
PortReturn — Portfolio return
Portfolio return, returned as a
1 vector of expected
rates of return.
PortWts — Portfolio asset weights
Portfolio asset weights, returned as a
POINTS-by-(number of securities) matrix of asset weights.
Each row of
PortWts is a different portfolio
 Bodie, Kane, and Marcus. Investments. Chapter 7.
Introduced before R2006a