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targetreturn

Portfolio weight accuracy

Syntax

return = targetreturn(Universe, Window, Offset, Weights)

Arguments

Universe

Number of observations (NUMOBS) by number of assets plus one (NASSETS + 1) array containing total return data for a group of securities. Each row represents an observation. Column 1 contains MATLAB® serial date numbers. The remaining columns contain the total return data for each security.

Window

Number of data periods used to calculate frontier.

Offset

Increment in number of periods at which each frontier is generated.

Weights

Number of assets (NASSETS) by number of curves (NCURVES) matrix of asset allocation weights needed to obtain the target rate of return.

Description

return = targetreturn(Universe, Window, Offset, Weights) computes target return values for each window of data and given portfolio weights. These values should match the input target return used with selectreturn.

Introduced before R2006a

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