For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31 sec)
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
setAssetList | Set up list of identifiers for assets |
setInitPort | Set up initial or current portfolio |
setDefaultConstraints | Set up portfolio constraints with nonnegative weights that sum to 1 |
To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.
Common Operations on the Portfolio Object
Common operations for setting up a Portfolio object.
Setting Up an Initial or Current Portfolio
The Portfolio object property InitPort
lets
you identify an initial or current portfolio.
Setting Up a Tracking Portfolio
The Portfolio object property TrackingPort
lets
you identify a tracking portfolio.
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio
object to estimate efficient portfolios.
Portfolio Optimization Examples
The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.
Portfolio Optimization Against a Benchmark
This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.
Leverage in Portfolio Optimization with a Risk-Free Asset
This example shows how to use the setBudget
function for the Portfolio
class to define the limits on the sum(AssetWeight_i)
in risky assets.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
Black-Litterman Portfolio Optimization
This example shows the workflow to implement the Black-Litterman model with the Portfolio
class.
Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.
Portfolios are points from a feasible set of assets that constitute an asset universe.
Using the Portfolio object and associated functions for portfolio optimization.
The default portfolio optimization problem has a risk
and return proxy associated with a given problem, and a portfolio
set that specifies portfolio weights to be nonnegative and to sum
to 1
.
Portfolio object workflow for creating and modeling a mean-variance portfolio.