Riskless assets and Financial toolbox
1 次查看(过去 30 天)
显示 更早的评论
Hi, I'm trying to construct an optimized portfolio with 5 assets, one of which being a risk free us interbank rate.
I have already constructed a portfolio of the risky assets using frontcon. I have minimum allocations set for each of the 4 risky assets. I took the average of portfolio weights that produce a portfolio risk under 3.3%.
How to I incorporate the risky portfolio into a final portfolio that includes the risk-free asset? I feel like I have not correctly accounted for the other port optimization features in Matlab, but am also not sure how to build in the allocation constraints for the risky assets, especially since I have only forecasted the variance covariance matrix for the risky assets.
Thanks!
--Edit: Attached is the code that I'm using
%Set CONSTRAINT CONDITITONS for 2005-2010 and defaults for Efficient
%Portfolio Estimation (frontcon)
AB1=[0.10375083 0.006820083 0.171937234 0.003411251]
AB2=[0.09746352 0.006573773 0.157316298 0.003219355]
AB3=[0.099026445 0.005835995 0.144081934 0.003175635]
AB4=[0.094700297 0.005734776 0.117213615 0.003325538]
AB5=[0.090528613 0.005708664 0.117541015 0.003486458]
AB6=[0.090044181 0.005225695 0.112304033 0.004449439]
AssetMax=[1 1 1 1]
NumPorts=1000
%For Each Year
%1) Run DCC MV GARCH Process for each year to get the Variance-Covariance Matrix
%2) Set Asset Bounds According to Constraint Conditions
%3) Estimate the Efficient Portfolio for Risky Assets Using Frontcon
%2005
[parameters, loglikelihood, Ht, Qt, stdresid, likelihoods, stderrors, A,B, jointscores]=dcc_mvgarch(R1,1,1,1,1);
VCM1=Ht(:,:,966)
PortReturn=[]
AssetBounds=AB1
AssetBounds(2,:)=AssetMax
ExpCovariance=VCM1
ExpReturn=D1(966,:)
[PortRisk, PortReturn, PortWts] = frontcon(ExpReturn, ExpCovariance, NumPorts, PortReturn, AssetBounds)
Port2005=PortRisk
Port2005(:,2:5)=PortWts
if mean(Port2005(:,1))<.033
W2005 = mean(Port2005(:,2:5));
end
Where VCM is the variance covariance matrix AB1-6 are asset bounds specific to each year that I'm estimating a portfolio for. W is the average portfolio weights that produce a standard deviation less than .033.
Unfortunately I only have access to 7.0.
---Thanks again
3 个评论
采纳的回答
Oleg Komarov
2011-4-13
Post what you've done so far for further help.
EDIT
Then you can call portalloc rigth after frontcon, as outlined in the example from the link I posted, supplying an average risk free rate.
Doesn't come into my mind how to implement a stochastic risk-free rate into a mean-variance framework.
The suggestion by David also considers a scalar risk free rate.
0 个评论
更多回答(1 个)
David Hruska
2011-4-14
If you have access to R2011a, you can use the Portfolio object to work a portfolio that contains a riskless asset. Specifically, see this section on working with a Riskless Asset.
0 个评论
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!