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Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using Portfolio. For information on the workflow when using Portfolio objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Creating the Portfolio Object.


PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis


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setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
portfolioRiskContributionCompute individual asset risk contribution to overall portfolio volatility (Since R2022a)
riskBudgetingPortfolioCompute risk budgeting portfolios (Since R2022a)
covarianceShrinkageEstimate covariance matrix using shrinkage estimators (Since R2023a)
covarianceDenoisingEstimate covariance matrix using denoising (Since R2023a)


Portfolio Operations

Portfolio Optimizations

Covariance Estimation with Noise Reduction

Portfolio Theory