Documentation Center

  • Trial Software
  • Product Updates

estimatePortReturn

Class: PortfolioMAD

Estimate mean of portfolio returns for PortfolioMAD object

Syntax

pret = estimatePortReturn(obj,pwgt)

Description

pret = estimatePortReturn(obj,pwgt) estimates the mean of portfolio returns (as the proxy for portfolio returns).

    Note:   Depending on whether costs have been set, the portfolio return is either gross or net portfolio returns.

Tips

Use dot notation to estimate the mean of portfolio returns (as the proxy for portfolio return).

pret = obj.estimatePortReturn(pwgt);

Input Arguments

obj

MAD portfolio object [PortfolioMAD].

pwgt

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

Output Arguments

pret

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

Portfolio weights are a [NumAssets-by-NumPorts matrix] and pret is a NumPorts-by-1 vector, where NumAssets is the number of assets in the universe and NumPorts is the number of portfolios in the collection of portfolios.

Attributes

Accesspublic
Staticfalse
Hiddenfalse

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

Examples

expand all

Estimate the Mean of Portfolio Returns

Given portfolio p, use the estimatePortReturn method to estimate the mean of portfolio returns.

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;
pret = p.estimatePortReturn(pwgt);
disp(pret)
    0.0048
    0.0154

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

| | |

More About

Was this topic helpful?