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estimateFrontierLimits

Class: PortfolioMAD

Estimate optimal portfolios at endpoints of efficient frontier for PortfolioMAD object

Syntax

[pwgt,pbuy,psell] = estimateFrontierLimits(obj)
[pwgt,pbuy,psell] = estimateFrontierLimits(obj,Choice)

Description

[pwgt,pbuy,psell] = estimateFrontierLimits(obj) estimates the optimal portfolios at the endpoints of the efficient frontier.

[pwgt,pbuy,psell] = estimateFrontierLimits(obj,Choice) estimates the optimal portfolios at the endpoints of the efficient frontier with an additional option specified for the Choice argument.

Tips

Use dot notation to estimate the optimal portfolios at the endpoints of the efficient frontier.

[pwgt, pbuy, psell] = obj.estimateFrontierLimits(Choice);

Input Arguments

obj

MAD portfolio object [PortfolioMAD].

Choice

(Optional) Indicates which portfolios to obtain at the extreme ends of the efficient frontier [string].

Choice specifies various actions with default value []. The options for Choice action are:

  • [] — Compute both minimum-risk and maximum-return portfolios.

  • 'Both' — Compute both minimum-risk and maximum-return portfolios.

  • 'Min' — Compute minimum-risk portfolio only.

  • 'Max' — Compute maximum-return portfolio only.

The number of portfolios returned by this method is either 1 or 2.

Default: []

Output Arguments

pwgt

Optimal portfolios at the endpoints of the efficient frontier TargetReturn [NumAssets-by-NumPorts matrix].

pbuy

Purchases relative to an initial portfolio for optimal portfolios at the endpoints of the efficient frontier [NumAssets-by-NumPorts matrix].

psell

Sales relative to an initial portfolio for optimal portfolios at the endpoints of the efficient frontier [NumAssets-by-NumPorts matrix].

    Note:   If no initial portfolio is specified in obj.InitPort, it is assumed to be 0 such that pbuy = max(0, pwgt) and psell = max(0, -pwgt).

Attributes

Accesspublic
Staticfalse
Hiddenfalse

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

Examples

expand all

Obtain Endpoint Portfolios

Given portfolio p, the estimateFrontierLimits method obtains the endpoint 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 ];
m = m/12;
C = C/12;

rng(11);

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioMAD;
p = p.setScenarios(AssetScenarios);
p = p.setDefaultConstraints;


pwgt = p.estimateFrontierLimits;

disp(pwgt);
    0.8815    0.0000
    0.0431    0.0000
    0.0389    0.0000
    0.0365    1.0000

The function rng( $seed$ ) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

See Also

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