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portstats

Portfolio expected return and risk

Syntax

[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,
PortWts)

Arguments

ExpReturn

1-by-number of assets (NASSETS) vector specifying the expected (mean) return of each asset.

ExpCovariance

NASSETS-by-NASSETS matrix specifying the covariance of the asset returns.

PortWts

(Optional) Number of portfolios (NPORTS) by NASSETS matrix of weights allocated to each asset. Each row represents a different weighting combination. Default = 1/NASSETS (equally weighted).

Description

[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance, PortWts) computes the expected rate of return and risk for a portfolio of assets.

PortRisk is an NPORTS-by-1 vector of the standard deviation of each portfolio.

PortReturn is an NPORTS-by-1 vector of the expected return of each portfolio.

Examples

expand all

Computes the Expected Rate of Return and Risk for a Portfolio of Assets

This example shows how to calculate the expected rate of return and risk for a portfolio of assets.

ExpReturn = [0.1 0.2 0.15];

ExpCovariance = [0.0100   -0.0061    0.0042
                -0.0061    0.0400   -0.0252
                 0.0042   -0.0252    0.0225 ];

PortWts=[0.4 0.2 0.4; 0.2 0.4 0.2];

[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,...
PortWts)
PortRisk =

    0.0560
    0.0550


PortReturn =

    0.1400
    0.1300

See Also

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