Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR Object

The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.

Obtaining Endpoints of the Efficient Frontier

Use the estimateFrontierLimits function to obtain the endpoint portfolios.

Obtaining Efficient Portfolios for Target Returns

To obtain efficient portfolios with targeted portfolio returns, the estimateFrontierByReturn function accepts one or more target portfolios returns and obtains efficient portfolios.

Obtaining Efficient Portfolios for Target Risks

To obtain efficient portfolios with targeted portfolio risks, the estimateFrontierByRisk function accepts one or more target portfolio risks and obtains efficient portfolios.

Estimate Efficient Frontiers for PortfolioCVaR Object

Given efficient portfolios, the functions estimatePortReturn and estimatePortRisk provide estimates for the return and risk.

Plotting the Efficient Frontier for a PortfolioCVaR Object

The plotFrontier function creates a plot of the efficient frontier for a given portfolio optimization problem.

Portfolio Optimization with Semicontinuous and Cardinality Constraints

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

Hedging Using CVaR Portfolio Optimization

This example shows how to model two hedging strategies using CVaR portfolio optimization with a PortfolioCVaR object.

Compute Maximum Reward-to-Risk Ratio for CVaR Portfolio

Create a PortfolioCVaR object and incorporate a list of assets from CAPMUniverse.mat.