The PortfolioMAD
object has a separate RiskFreeRate
property that stores the rate of return of a riskless asset. Thus, you can separate your
universe into a riskless asset and a collection of risky assets. For example, assume
that your riskless asset has a return in the scalar variable r0
, then
the property for the RiskFreeRate
is set using the PortfolioMAD
object:
r0 = 0.01/12;
p = PortfolioMAD;
p = PortfolioMAD('RiskFreeRate', r0);
disp(p.RiskFreeRate)
8.3333e-04
Note
If your portfolio problem has a budget constraint such that your portfolio
weights must sum to 1
, then the riskless asset is
irrelevant.
PortfolioMAD
| setCosts
| setScenarios
| simulateNormalScenariosByData
| simulateNormalScenariosByMoments