Create Portfolio
Create Portfolio object for mean-variance portfolio optimization
To create a fully specified mean-variance portfolio optimization
problem, instantiate the Portfolio
object using
Portfolio
. For
information on the workflow when using Portfolio
objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Creating the Portfolio Object.
Objects
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
Functions
Topics
Portfolio Operations
- 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 propertyInitPort
lets you identify an initial or current portfolio. - Setting Up a Tracking Portfolio
The Portfolio object propertyTrackingPort
lets you identify a tracking portfolio.
Portfolio Optimizations
- Asset Allocation Case Study
This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with aPortfolio
object to estimate efficient portfolios. - Portfolio Optimization Examples Using Financial Toolbox
Follow a sequence of examples that highlight features of thePortfolio
object. - 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 thesetBudget
function for thePortfolio
class to define the limits on thesum(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 Using Financial Toolbox
This example shows the workflow to implement the Black-Litterman model with thePortfolio
class in Financial Toolbox™. - Portfolio Optimization Using Factor Models
This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework. - Portfolio Optimization Using Social Performance Measure
Use aPortfolio
object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board. - Risk Budgeting Portfolio
This example shows how to useriskBudgetingPortfolio
to create a risk budgeting portfolio andportfolioRiskContribution
to compute the risk contribution of the assets in the portfolio. - Backtest Using Risk-Based Equity Indexation
This example shows how to use backtesting with a risk parity or equal risk contribution strategy rebalanced approximately every month as a risk-based indexation. - Create Hierarchical Risk Parity Portfolio
This example shows how to compute a hierarchical risk parity (HRP) portfolio. - Risk Parity or Budgeting with Constraints
This example shows how to solve risk parity or budgeting problems with constraints usingestimateCustomObjectivePortfolio
. - Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting
This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights.
Covariance Estimation with Noise Reduction
- Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting
This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights. - Comparison of Methods for Covariance Estimation
Comparison of methods to use for covariance estimation.
Portfolio Theory
- 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 to1
. - When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox. - Role of Convexity in Portfolio Problems
Characteristics of convexity, concavity, and nonconvexity in portfolio problems.
Related Information
- Getting Started with Portfolio Optimization (4 min 13 sec)
- Optimization in MATLAB for Financial Applications (63 min 00 sec)
- MATLAB for Portfolio Construction: Smart Beta (5 min 29 sec)
- Using MATLAB to Develop and Deploy Financial Applications (51 min 20
sec)
- MATLAB Production Server for Financial Applications (38 min 28
sec)
- Commodities Trading with MATLAB (44 min 28 sec)
- Walk-Forward Analysis: Using MATLAB to Backtest Your Trading Strategy
(35 min 16 sec)
- Algorithmic Trading with MATLAB for Financial Applications (64 min 42
sec)
- Automated Trading System Development with MATLAB (70 min 21 sec)