Estimate mean and covariance of asset returns from data
Using a fints
object for the
AssetReturns
argument of
estimateAssetMoments
is not recommended. Use timetable
instead for financial time series. For more information, see
Convert Financial Time Series Objects fints to Timetables.
estimates mean and covariance of asset returns from data for a
obj
= estimateAssetMoments(obj
,AssetReturns
)Portfolio
object. For details on the workflow, see Portfolio Object Workflow.
estimates mean and covariance of asset returns from data for a Portfolio object
with additional options for one or more obj
= estimateAssetMoments(___,Name,Value
)Name,Value
pair
arguments.
You can also use dot notation to estimate the mean and covariance of asset returns from data.
obj = obj.estimateAssetMoments(AssetReturns);