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Estimate Efficient Portfolios and Frontiers

Analyze efficient portfolios and efficient frontiers for portfolio

Using Objects

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

estimateFrontier Estimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturn Estimate optimal portfolios with targeted portfolio returns
estimateFrontierByRisk Estimate optimal portfolios with targeted portfolio risks
estimateFrontierLimits Estimate optimal portfolios at endpoints of efficient frontier
plotFrontier Plot efficient frontier
estimatePortVaR Estimate value-at-risk for PortfolioCVaR object
estimatePortStd Estimate standard deviation of portfolio returns
estimatePortReturn Estimate mean of portfolio returns
estimatePortRisk Estimate portfolio risk according to risk proxy associated with corresponding object
setSolver Choose main solver and specify associated solver options for portfolio optimization

Examples and How To

Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR Object

The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.

Obtaining Endpoints of the Efficient Frontier

Use the estimateFrontierLimits function to obtain the endpoint portfolios.

Obtaining Efficient Portfolios for Target Returns

To obtain efficient portfolios with targeted portfolio returns, the estimateFrontierByReturn function accepts one or more target portfolios returns and obtains efficient portfolios.

Obtaining Efficient Portfolios for Target Risks

To obtain efficient portfolios with targeted portfolio risks, the estimateFrontierByRisk function accepts one or more target portfolio risks and obtains efficient portfolios.

Obtaining CVaR Portfolio Risks and Returns

Given any portfolio and, in particular, efficient portfolios, the functions estimatePortReturn and estimatePortRisk provide estimates for the return and risk.

Obtaining Portfolio Standard Deviation and VaR

The PortfolioCVaR object has functions, estimatePortStd and estimatePortVaR, to compute standard deviations of portfolio returns and the value-at-risk of portfolios.

Plotting the Efficient Frontier for a PortfolioCVaR Object

The plotFrontier function creates a plot of the efficient frontier for a given portfolio optimization problem.

Choosing and Controlling the Solver

When solving portfolio optimizations for a PortfolioCVaR object, all variations of fmincon from Optimization Toolbox™ are supported.

Concepts

PortfolioCVaR Object Workflow

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.

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