Portfolio managers concentrate their efforts on achieving the best possible trade-off between risk and return. For portfolios constructed from a fixed set of assets, the risk/return profile varies with the portfolio composition. Portfolios that maximize the return, given the risk, or, conversely, minimize the risk for the given return, are called optimal. Optimal portfolios define a line in the risk/return plane called the efficient frontier. For information on portfolio optimization, see Portfolio Optimization Functions.
|Expected return and covariance from return time series|
|Rolling efficient frontier|
|Optimal capital allocation to efficient frontier portfolios|
|Portfolio expected rate of return|
|Portfolio configurations from 3-D efficient frontier|
|Portfolio weight accuracy|
|Randomized portfolio risks, returns, and weights|
|Portfolios on constrained efficient frontier|
|Monte Carlo simulation of correlated asset returns|
|Portfolio expected return and risk|
|Variance for portfolio of assets|
|Portfolio value at risk (VaR)|
|Periodic total returns from total return prices|
|Total return price time series|
|Period-over-period rolling returns or differences from prices (Since R2020b)|
|Add business calendar awareness to timetables (Since R2020b)|
- Portfolio Construction Examples
These examples show how to construct portfolios on the efficient frontier.
- Portfolio Selection and Risk Aversion
One of the factors to consider when selecting the optimal portfolio for a particular investor is the degree of risk aversion.
- Active Returns and Tracking Error Efficient Frontier
This example shows how to minimize the variance of the difference in returns with respect to a given target portfolio.
- Plotting an Efficient Frontier Using portopt
This example plots the efficient frontier of a hypothetical portfolio of three assets.
- Plotting Sensitivities of an Option
This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
- Plotting Sensitivities of a Portfolio of Options
This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.
- portopt Migration to Portfolio Object
These examples show how to migrate
portoptto a Portfolio object.
- Analyzing Portfolios
For portfolios constructed from a fixed set of assets, the risk and return profile varies with the portfolio composition.
- Portfolio Optimization Functions
Financial Toolbox™ functions for portfolio optimization.