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Portfolio configurations from 3-D efficient frontier


PortConfigs = selectreturn(AllMean,AllCovariance,Target)



Number of curves (NCURVES-by-1 cell array), where each element is a 1-by-NASSETS (number of assets) vector of the expected asset returns used to generate each curve on the surface.


NCURVES-by-1 cell array where each element is an NASSETS-by-NASSETS vector of the covariance matrix used to generate each curve on the surface.


Target return value for each curve in the frontier.


PortConfigs = selectreturn(AllMean,AllCovariance,Target) returns the portfolio configurations for a target return given the average return and covariance for a rolling efficient frontier.

PortConfigs is a NASSETS-by-NCURVES matrix of asset allocation weights needed to obtain the target rate of return.

Introduced before R2006a