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portror - Portfolio expected rate of return

Syntax

R = portror(Return, Weight)

Arguments

Return	1-by-N matrix of rates of return. Each column of Return represents the rate of return for a single security
Weight	M-by-N matrix of weights. Each row of Weight represents a different weighting combination of the assets in the portfolio.

Description

R = portror(Return, Weight) returns a 1-by-M vector for the expected rate of return.

Examples

A portfolio is made up of two assets ABC and XYZ having expected rates of return of 10% and 14%, respectively. If 40% percent of the portfolio's funds are allocated to asset ABC and the remaining funds are allocated to asset XYZ, the portfolio's expected rate of return is:

r = portror([.1 .14],[.4 .6])
r =
0.1240

References

Bodie, Kane, and Marcus, Investments, Chapter 7.

See Also

frontcon, portrand, portvar

portrand

portsim

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