Contents

Index

• Getting Started

• User Guide

• Functions

• Dates

• Currency and Price

• Financial Data Charts

• Cash Flows

• Fixed-Income Securities

• Portfolios

• Performance Metrics

• Financial Statistics

• Derivatives

• GARCH Processes

• Financial Time Series Object and File Construction

• Financial Time Series Arithmetic

• Financial Time Series Math

• Financial Time Series Descriptive Statistics

• Financial Time Series Utility

• Financial Time Series Data Transformation

• Financial Time Series Indicator

• Financial Time Series GUI

• Financial Time Series Tool

Examples

• Release Notes

Learn more about Financial Toolbox

selectreturn - Portfolio configurations from 3-D efficient frontier

Syntax

PortConfigs = selectreturn(AllMean, All Covariance, 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, All Covariance, 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.

selectreturn - Portfolio configurations from 3-D efficient frontier

Syntax

Arguments

Description

See Also