Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31 sec)

Objects

PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis

Functions

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

Examples and How To

Creating the Portfolio Object

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.

Common Operations on the Portfolio Object

Common operations for setting up a Portfolio object.

Setting Up an Initial or Current Portfolio

The Portfolio object property InitPort lets you identify an initial or current portfolio.

Setting Up a Tracking Portfolio

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

Asset Allocation Case Study

This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.

Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

Portfolio Optimization Against a Benchmark

This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.

Leverage in Portfolio Optimization with a Risk-Free Asset

This example shows how to use the setBudget function for the Portfolio class to define the limits on the sum(AssetWeight_i) in risky assets.

Portfolio Optimization with Semicontinuous and Cardinality Constraints

This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.

Black-Litterman Portfolio Optimization

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

Concepts

Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

Portfolio Object

Using the Portfolio object and associated functions for portfolio optimization.

Default Portfolio Problem

The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to 1.

Portfolio Object Workflow

Portfolio object workflow for creating and modeling a mean-variance portfolio.