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estimatePortRisk

Class: PortfolioMAD

Estimate mean-absolute deviation (MAD) for portfolio risk proxy

Syntax

prsk = estimatePortRisk(obj,pwgt)

Description

prsk = estimatePortRisk(obj,pwgt) estimates the mean-absolute deviation of portfolio returns (portfolio risk proxy).

Tips

Use dot notation to estimate mean-absolute deviation of portfolio returns (portfolio risk proxy).

prsk = obj.estimatePortRisk(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

prsk

Estimate for mean-absolute deviation 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

expand all

Mean-Absolute Deviation Returns as the Proxy for Portfolio Risk

Given a portfolio pwgt, use the estimatePortRisk method to show the mean-absolute deviation of portfolio returns for each portfolio.

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;
prsk = p.estimatePortRisk(pwgt);
disp(prsk)
    0.0177
    0.0809

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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