Set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.
The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™. Specifically, the examples show how to set up mean-variance portfolio
Use the setBudget function for the Portfolio class to define the limits on the sum(AssetWeight _ i ) in risky assets.
Perform portfolio optimization using the Portfolio object in Financial Toolbox™.