Estimate Mean and Covariance for Returns

Evaluate mean and covariance for portfolio asset returns, including assets with missing data and financial time series data

Working with a Portfolio object, use functions to evaluate the mean and covariance for portfolio asset returns, including assets with missing data and financial time series data.

Objects

Portfolio Create Portfolio object for mean-variance portfolio optimization and analysis

Functions

`getAssetMoments`	Obtain mean and covariance of asset returns from Portfolio object
`setAssetMoments`	Set moments (mean and covariance) of asset returns for Portfolio object
`estimateAssetMoments`	Estimate mean and covariance of asset returns from data
`setCosts`	Set up proportional transaction costs for portfolio

Topics

Portfolio Optimizations

Asset Returns and Moments of Asset Returns Using Portfolio Object
Mean-variance portfolio optimization problems require estimates for the mean and covariance of asset returns.
Working with a Riskless Asset
The Portfolio object uses a separate RiskFreeRate property that stores the rate of return of a riskless asset.
Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
Asset Allocation Case Study
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 Using Financial Toolbox
Follow a sequence of examples that highlight features of the Portfolio object.
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 Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with the Portfolio class in Financial Toolbox™.
Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.
Portfolio Optimization Using Social Performance Measure
Use a Portfolio object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.

Portfolio Theory

Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
Portfolio Object Workflow
Portfolio object workflow for creating and modeling a mean-variance portfolio.
When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.

Related Information

Getting Started with Portfolio Optimization (4 min 13 sec)