|Portfolio object for mean-variance portfolio optimization and analysis|
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
The Portfolio object uses a separate
that stores the rate of return of a riskless asset.
The difference between net and gross portfolio returns is transaction costs.
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization to estimate efficient portfolios.
The following sequence of examples highlights features of the
Portfolio object in the Financial Toolbox™.
Portfolio object workflow for creating and modeling a mean-variance portfolio.