Inputing Risk Aversion into the Portfolio Workflow

2 次查看（过去 30 天）
Jeff Martin
Jeff Martin 2015-4-10
回答： Jaskirat 2025-6-12
Hi,
I was wondering if anyone had any idea how to input risk aversion into the Portfolio Workflow. I'm trying to solve for the situation where optimisation is constrained (no risk-free asset, no borrowing or lending) and investors have varying degree's of risk aversion.
Any information would be appreciated.
J

请先登录，再回答此问题。

回答（1 个）

Jaskirat
Jaskirat 2025-6-12
Hello @Jeff Martin,
To model varying degrees of risk aversion, you can use the “portalloc” function:
[RiskyRisk, RiskyReturn, RiskyWts,...] = ...
portalloc(PortRisk, PortReturn, PortWts, NaN, NaN, A);
“BorrowRate=NaN” will forbid borrowing and lending, and the value of “A” can control risk aversion.
The following documentation links provide more information about the function and handling risk aversion:
https://www.mathworks.com/help/finance/portalloc.html
https://www.mathworks.com/help/finance/portfolio-selection-and-risk-aversion.html
Hope this helps!

类别

在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by