variance of portfolio as objective function

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Sameer
Sameer 2014-5-19
回答： Alejandra Pena-Ordieres 2024-9-10
how would be able to set up the variance of a portfolio as an seperate objective function?
I have the data read in from excel already

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回答（3 个）

Star Strider
Star Strider 2014-5-19
Image Analyst
Image Analyst 2014-5-19
What do you mean? There already is a built in function for variance called var(). Why do you need to make your own function for that?
Alejandra Pena-Ordieres
To set up the variance as the objective, you can use estimateFrontierLimits with the optional input 'min' or estimateFrontierByReturn.
estimateFrontierLimits(p,'min') computes the minimum variance portfolio without any return constraints. estimateFrontierByReturn(p,targetReturn) computes the minimum variance portfolio that achieves a return greater than or equal to targetReturn.
See Obtain Range of Risks and Returns and Find a Portfolio with a Targeted Return and Targeted Risk for an example.

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