Portfolio expected return and risk
[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance,PortWts)
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[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance,PortWts)
computes
the expected rate of return and risk for a portfolio of assets.
PortRisk
is an NPORTS
-by-1
vector
of the standard deviation of each portfolio.
PortReturn
is an NPORTS
-by-1
vector
of the expected return of each portfolio.