portstats

Portfolio expected return and risk

Syntax

``[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance)``
``[PortRisk,PortReturn] = portstats(___,Wts)``

Description

example

````[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance)` computes the expected rate of return and risk for a portfolio of assets.```

example

````[PortRisk,PortReturn] = portstats(___,Wts)` specifies options using one or more optional arguments in addition to the input arguments in the previous syntax. ```

Examples

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This example shows how to calculate the expected rate of return and risk for a portfolio of assets.

```ExpReturn = [0.1 0.2 0.15]; ExpCovariance = [0.0100 -0.0061 0.0042 -0.0061 0.0400 -0.0252 0.0042 -0.0252 0.0225 ]; PortWts=[0.4 0.2 0.4; 0.2 0.4 0.2]; [PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,... PortWts)```
```PortRisk = 2×1 0.0560 0.0550 ```
```PortReturn = 2×1 0.1400 0.1300 ```

Input Arguments

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Expected (mean) return of each asset, specified as a `1`-by-`NASSETS` vector.

Data Types: `double`

Asset return covariances, specified as an `NASSETS`-by-`NASSETS` matrix.

Data Types: `double`

(Optional) Weights allocated to each asset, specified as an `NPORTS`-by-`NASSETS` matrix. Each row represents a different weighting combination of the assets in the portfolio. If `Wts` is not entered, weights of `1/NASSETS` are assigned to each security.

Data Types: `double`

Output Arguments

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Standard deviation of each portfolio, returned as an `NPORTS`-by-`1` vector.

Expected return of each portfolio, returned an `NPORTS`-by-`1` vector.

Introduced before R2006a