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R2012a Documentation → Financial Toolbox
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Contents

Index

• Getting Started

• User's Guide

• Currency and Price

• Financial Data Charts

• Fixed-Income Securities

• Portfolio Optimization Objects

• Portfolio Objects

AbstractPortfolio

• Get Methods

• Set Methods

• Add Methods

• Preprocessing Methods

• Efficient Portfolio Estimation Methods

• Efficient Frontier Methods

• Utility Methods

• Portfolio Analysis

• Financial Statistics

• Derivatives

• Credit Risk Utilities

• GARCH Processes

• Financial Time Series Object and File Construction

• Financial Time Series Arithmetic

• Financial Time Series Math

• Financial Time Series Descriptive Statistics

• Financial Time Series Utility

• Financial Time Series Data Transformation

• Financial Time Series Indicator

• Financial Time Series GUI

• Financial Time Series Tool

• Release Notes

AbstractPortfolio class -

Abstract portfolio object for portfolio optimization and analysis

Description

The portfolio object implements mean-variance portfolio optimization and is derived from the abstract class AbstractPortfolio.

Construction

There is no constructor for the abstract class. To construct a portfolio object, see the Portfolio class.

Properties

Name

Name for instance of the portfolio object ([] or [string]).

Attributes:

SetAccess public

GetAccess public

NumAssets

Number of assets in universe ([] or [integer scalar]).

Attributes:

SetAccess public

GetAccess public

AssetList

Names or symbols of assets in universe ([] or [vector cell of strings]).

Attributes:

SetAccess public

GetAccess public

InitPort

Initial portfolio ([] or vector).

Attributes:

SetAccess public

GetAccess public

AInequality

Linear inequality constraint matrix ([] or [matrix]).

Attributes:

SetAccess public

GetAccess public

bInequality

Linear inequality constraint vector ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

AEquality

Linear equality constraint matrix ([] or [matrix]).

Attributes:

SetAccess public

GetAccess public

bEquality

Linear equality constraint vector ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

LowerBound

Lower-bound constraint ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

UpperBound

Upper-bound constraint ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

LowerBudget

Lower-bound budget constraint ([] or [scalar]).

Attributes:

SetAccess public

GetAccess public

UpperBudget

Upper-bound budget constraint ([] or [scalar]).

Attributes:

SetAccess public

GetAccess public

GroupMatrix

Group membership matrix ([] or [matrix]).

Attributes:

SetAccess public

GetAccess public

LowerGroup

Lower-bound group constraint ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

UpperGroup

Upper-bound group constraint ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

GroupA

Group A weights to be bounded by weights in group B ([] or [matrix]).

Attributes:

SetAccess public

GetAccess public

GroupB

Group B weights ([] or [matrix]).

Attributes:

SetAccess public

GetAccess public

LowerRatio

Minimum ratio of allocations between groups A and B ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

UpperRatio

Maximum ratio of allocations between groups A and B ([] or [vector]).

Attributes:

SetAccess public

GetAccess public

Methods

addEquality	Add linear equality constraints for portfolio weights to existing constraints
addGroupRatio	Add group ratio constraints for portfolio weights to existing group ratio constraints
addGroups	Add group constraints for portfolio weights to existing group constraints
addInequality	Add linear inequality constraints for portfolio weights to existing constraints
checkFeasibility	Check feasibility of input portfolios against a portfolio object
estimateBounds	Estimate global lower and upper bounds for set of portfolios
estimateFrontier	Estimate specified number of optimal portfolios over entire efficient frontier
estimateFrontierByReturn	Estimate optimal portfolios with targeted portfolio returns
estimateFrontierByRisk	Estimate optimal portfolios with targeted portfolio risks
estimateFrontierLimits	Estimate optimal portfolios at endpoints of efficient frontier
estimateMaxSharpeRatio	Estimate efficient portfolio to maximize Sharpe ratio
estimatePortReturn	Estimate mean of portfolio returns (portfolio return)
estimatePortRisk	Estimate standard deviation of portfolio returns (portfolio risk)
getBounds	Obtain bounds for portfolio weights from portfolio object
getBudget	Obtain budget constraint bounds from portfolio object
getEquality	Obtain equality constraint arrays from portfolio object
getGroupRatio	Obtain group ratio constraint arrays from portfolio object
getGroups	Obtain group constraint arrays from portfolio object
getInequality	Obtain inequality constraint arrays from portfolio object
plotFrontier	Plot efficient frontier
setAssetList	Set up list of identifiers for assets
setBounds	Set up bounds for portfolio weights
setBudget	Set up budget constraints
setDefaultConstraints	Set up portfolio constraints with nonnegative weights that must sum to 1
setEquality	Set up linear equality constraints for portfolio weights
setGroupRatio	Set up group ratio constraints for portfolio weights
setGroups	Set up group constraints for portfolio weights
setInequality	Set up linear inequality constraints for portfolio weights
setInitPort	Set up initial or current portfolio
setOptions	Set hidden properties in portfolio object
setSolver	Choose main solver and specify associated solver options for portfolio optimization

Instance Hierarchy

The AbstractPortfolio class has one subclass, Portfolio, that inherits properties and methods from theAbstractPortfolio class.

Attributes

Abstract true

To learn about attributes of classes, see Class Attributes in the MATLAB Object-Oriented Programming documentation.

Copy Semantics

Value. To learn how value classes affect copy operations, see Copying Objects in the MATLAB Programming Fundamentals documentation.

Alternatives

You can perform portfolio optimization using a collection of special-purpose functions in Financial Toolbox software. For more information, see Portfolio Optimization Functions.

See Also

How To

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