| Financial Toolbox™ | |
PortConfigs = selectreturn(AllMean, All Covariance, Target)
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. |
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.
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