selectreturn

Portfolio configurations from 3-D efficient frontier

Syntax

PortConfigs = selectreturn(AllMean,AllCovariance,Target)

Arguments

AllMean	Number of curves (NCURVES-by-1 cell array), where each element is a 1-by-NASSETS (number of assets) vector of the expected asset returns used to generate each curve on the surface.
AllCovariance	NCURVES-by-1 cell array where each element is an NASSETS-by-NASSETS vector of the covariance matrix used to generate each curve on the surface.
Target	Target return value for each curve in the frontier.

Description

PortConfigs = selectreturn(AllMean,AllCovariance,Target) returns the portfolio configurations for a target return given the average return and covariance for a rolling efficient frontier.

PortConfigs is a NASSETS-by-NCURVES matrix of asset allocation weights needed to obtain the target rate of return.