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Portfolio Analysis

Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR)

Functions

ewstats Expected return and covariance from return time series
frontier Rolling efficient frontier
portalloc Optimal capital allocation to efficient frontier portfolios
portror Portfolio expected rate of return
selectreturn Portfolio configurations from 3-D efficient frontier
targetreturn Portfolio weight accuracy
portrand Randomized portfolio risks, returns, and weights
portsim Monte Carlo simulation of correlated asset returns
portstats Portfolio expected return and risk
portvar Variance for portfolio of assets
portvrisk Portfolio value at risk (VaR)
periodicreturns Periodic total returns from total return prices
totalreturnprice Total return price time series
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