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selectreturn

Portfolio configurations from 3-D efficient frontier

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Syntax

PortConfigs = selectreturn(AllMean,AllCovariance,Target)

Description

PortConfigs = selectreturn(AllMean,AllCovariance,Target) returns the portfolio configurations (PortConfigs) for a target return given the average return and covariance for a rolling efficient frontier.

Input Arguments

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Expected asset returns used to generate each curve on the surface, specified as a number of curves (NCURVES-by-1 cell array), where each element is a 1-by-NASSETS (number of assets) vector

Data Types: double

Covariance matrix used to generate each curve on the surface, specified as an NCURVES-by-1 cell array where each element is an NASSETS-by-NASSETS vector.

Data Types: cell

Target return value for each curve in the frontier, specified as a numeric.

Data Types: double

Output Arguments

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Asset allocation weights needed to obtain the target rate of return, returned as an NASSETS-by-NCURVES matrix.

Version History

Introduced before R2006a

See Also

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