Inputing Risk Aversion into the Portfolio Workflow
显示 更早的评论
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
回答（1 个）
Jaskirat
2025-6-12
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:
Hope this helps!
类别
在 帮助中心 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息
2015-4-10
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
