estimatePortMoments

Class: Portfolio

Estimate moments of portfolio returns

Syntax

[prsk, pret] = estimatePortMoments(obj,pwgt)

Description

[prsk, pret] = estimatePortMoments(obj,pwgt) estimates the moments of portfolio returns.

The estimate of port moments is specific to mean-variance portfolio optimization and computes the mean and standard deviation (which is the square-root of variance) of portfolio returns.

Tips

You can also use dot notation to estimate the moments of portfolio returns.

[prsk, pret] = obj.estimatePortMoments(pwgt);

Input Arguments

obj

Portfolio object [Portfolio].

pwgt

Collection of portfolios [NumAssets-by-NumPorts matrix] where NumAssets is the number of asset in the universe and NumPorts is the number of portfolios in the collection of portfolios.

Output Arguments

prsk

Estimates for standard deviations of portfolio returns for each portfolio in pwgt [NumPorts vector].

pret

Estimates for means of portfolio returns for each portfolio in pwgt [NumPorts vector].

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes in the MATLAB® Object-Oriented Programming documentation.

Examples

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Identify the Range of Risks and Returns for Efficient Portfolios

Given portfolio p, use the estimatePortMoments method to show the range of risks and returns for efficient portfolios.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0;
      0.00408 0.0289 0.0204 0.0119;
      0.00192 0.0204 0.0576 0.0336;
      0 0.0119 0.0336 0.1225 ];

p = Portfolio;
p = setAssetMoments(p, m, C);
p = setDefaultConstraints(p);
pwgt = estimateFrontierLimits(p);

[prsk, pret] = estimatePortMoments(p, pwgt);
disp([prsk, pret]);
    0.0769    0.0590
    0.3500    0.1800

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