Meanvariance efficient frontier
As an alternative to frontcon
, use
the Portfolio object (Portfolio
)
for meanvariance portfolio optimization. This object supports gross
or net portfolio returns as the return proxy, the variance of portfolio
returns as the risk proxy, and a portfolio set that is any combination
of the specified constraints to form a portfolio set. For information
on the workflow when using Portfolio objects, see Portfolio Object Workflow.
For more information on migrating frontcon
code
to Portfolio
, see frontcon Migration to Portfolio Object.
frontcon
will be removed in a future release.
Use Portfolio
instead. For
more information on migrating frontcon
code
to Portfolio
, see frontcon Migration to Portfolio Object.
[PortRisk, PortReturn, PortWts] = frontcon(ExpReturn,
ExpCovariance, NumPorts, PortReturn, AssetBounds, Groups,
GroupBounds, varargin)
 1 by number of assets ( 


 (Optional) Number of portfolios generated along the efficient
frontier. Returns are equally spaced between the maximum possible
return and the minimum risk point. If 
 (Optional) Vector of length equal to the number of portfolios
( 
 (Optional) 
 (Optional) Number of groups ( 
 (Optional) 
 (Optional)

[PortRisk, PortReturn, PortWts] = frontcon(ExpReturn,
ExpCovariance, NumPorts, PortReturn, AssetBounds, Groups, GroupBounds,
varargin)
returns the meanvariance efficient frontier with
userspecified asset constraints, covariance, and returns. For a collection
of NASSETS
risky assets, computes a portfolio of
asset investment weights that minimize the risk for given values of
the expected return. The portfolio risk is minimized subject to constraints
on the asset weights or on groups of asset weights.
PortRisk
is an NPORTS
by1
vector
of the standard deviation of each portfolio.
PortReturn
is a NPORTS
by1
vector
of the expected return of each portfolio.
PortWts
is an NPORTS
byNASSETS
matrix
of weights allocated to each asset. Each row represents a portfolio.
The total of all weights in a portfolio is 1.
frontcon
generates a plot of the efficient
frontier if you invoke it without output arguments.
The asset returns are assumed to be jointly normal, with expected
mean returns of ExpReturn
and return covariance ExpCovariance
.
The variance of a portfolio with 1
byNASSETS
weights PortWts
is
given by PortVar = PortWts*ExpCovariance*PortWts'
.
The portfolio expected return is PortReturn = dot(ExpReturn,
PortWts)
.