targetreturn

Portfolio weight accuracy

Syntax

return = targetreturn(Universe,Window,Offset,Weights)

Description

return = targetreturn(Universe,Window,Offset,Weights) computes target return values for each Window of data and given portfolio weights. These values should match the input target return used with selectreturn.

Input Arguments

Universe — Total return data for a group of securities

array

Total return data for a group of securities, specified as a number of observations (NUMOBS) by number of assets plus one (NASSETS + 1) array. Each row represents an observation. Column 1 contains MATLAB^® serial date numbers. The remaining columns contain the total return data for each security.

Data Types: double

Window — Number of data periods used to calculate frontier

integer

Number of data periods used to calculate frontier, specified as an integer.

Data Types: double

Offset — Number of periods to increment when each frontier is generated

integer

Number of periods to increment when each frontier is generated , specified as an integer.

Data Types: double

Weights — Asset allocation weights needed to obtain the target rate of return

matrix

Asset allocation weights needed to obtain the target rate of return, specified as a number of assets (NASSETS) by number of curves (NCURVES) matrix.

Data Types: double

Output Arguments

return — Target return

numeric

Target return, returned as a numeric value for each Window of data and given portfolio Weights.

Version History

Introduced before R2006a