Portfolio Optimization and Asset Allocation

Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, or mean absolute-deviation portfolio optimization

Quantitative investment managers and risk managers use portfolio optimization to choose the proportions of various assets to be held in a portfolio. The goal of portfolio optimization is to maximize a measure or proxy for a portfolio's return contingent on a measure or proxy for a portfolio’s risk. This toolbox provides a comprehensive suite of portfolio optimization and analysis tools for performing capital allocation, asset allocation, and risk assessment.

Frequently Viewed Topics

Portfolio Optimization Theory
Background theory for Portfolio optimization problems
Mean-Variance Portfolio Optimization
Create Portfolio object, evaluate composition of assets, perform mean-variance portfolio optimization
Conditional Value-at-Risk Portfolio Optimization
Create portfolios, evaluate composition of assets, perform CVaR portfolio optimization
Mean-Absolute Deviation Portfolio Optimization
Create portfolios, evaluate composition of assets, perform MAD portfolio optimization
Portfolio Analysis
Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR)

Featured Examples

Asset Allocation Case Study

Set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.

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Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™. Specifically, the examples use the Portfolio object to show how to set up mean-variance portfolio optimization problems that focus on the two-fund theorem, the impact of transaction costs and turnover constraints, how to obtain portfolios that maximize the Sharpe ratio, and how to set up two popular hedge-fund strategies - dollar-neutral and 130-30 portfolios.

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Portfolio Optimization Against a Benchmark

Demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.

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Portfolio Optimization and Asset Allocation

Featured Examples

Asset Allocation Case Study

Portfolio Optimization Examples

Portfolio Optimization Against a Benchmark

Financial Toolbox Documentation

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A Practical Guide to Modeling Financial Risk with MATLAB