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Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31 sec)

Using Objects

Portfolio Portfolio object for mean-variance portfolio optimization and analysis


Portfolio Create Portfolio object for mean-variance portfolio optimization
setAssetList Set up list of identifiers for assets
setInitPort Set up initial or current portfolio
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1

Examples and How To

Creating the Portfolio Object

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.

Common Operations on the Portfolio Object

Common operations for setting up a Portfolio object.

Setting Up an Initial or Current Portfolio

The Portfolio object property InitPort lets you identify an initial or current portfolio.

Setting Up a Tracking Portfolio

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

Asset Allocation Case Study

This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization to estimate efficient portfolios.

Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

Portfolio Optimization Against a Benchmark

This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.


Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

Portfolio Object

Using the Portfolio object and associated functions for portfolio optimization.

Portfolio Object Workflow

Portfolio object workflow for creating and modeling a mean-variance portfolio.

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