Portfolio configurations from 3-D efficient frontier
PortConfigs = selectreturn(AllMean,AllCovariance,Target)
| Number of curves ( |
|
|
| Target return value for each curve in the frontier. |
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.