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estimatePortStd

Class: PortfolioMAD

Estimate standard deviation of portfolio returns for PortfolioMAD object

Syntax

pstd = estimatePortStd(obj,pwgt)

Description

pstd = estimatePortStd(obj,pwgt) estimates the standard deviation of portfolio returns. This method uses the asset return scenarios to compute the standard deviation of portfolio returns.

Tips

Use dot notation to estimate the standard deviation of portfolio returns.

pstd = obj.estimatePortStd(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

pstd

Estimates for standard deviations 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

Estimate Standard Deviations for Portfolio Returns

Given a portfolio pwgt, use the estimatePortStd method to show the standard deviation 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;

pstd = p.estimatePortStd(pwgt);
disp(pstd)
    0.0222
    0.1010

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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