selectreturn

Portfolio configurations from 3-D efficient frontier

Syntax

PortConfigs = selectreturn(AllMean, All Covariance, Target)

Arguments

AllMean

Number of curves (NCURVES) by 1 cell array where each element is a 1-by-NASSETS (number of assets) vector of the expected asset returns used to generate each curve on the surface.

AllCovariance

NCURVES-by-1 cell array where each element is an NASSETS-by-NASSETS vector of the covariance matrix used to generate each curve on the surface.

Target

Target return value for each curve in the frontier.

Description

PortConfigs = selectreturn(AllMean, All Covariance, Target) returns the portfolio configurations for a target return given the average return and covariance for a rolling efficient frontier.

PortConfigs is a NASSETS-by-NCURVES matrix of asset allocation weights needed to obtain the target rate of return.

See Also

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