Main Content

Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

For information about creating a Portfolio object, see Getting Started with Portfolio Optimization (13 min 31 sec)

Objects

PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis

Functions

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

Examples and How To

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 property InitPort lets you identify an initial or current portfolio.

Setting Up a Tracking Portfolio

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

Asset Allocation Case Study

This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.

Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

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 the setBudget function for the Portfolio class to define the limits on the sum(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

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

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 a Social Performance Measure

This example shows how to use a Portfolio object for portfolio optimization that includes a social performance measure for the percentage of women on a company's board and group constraints.

Diversification of Portfolios

This example shows three techniques of asset diversification in a portfolio.

Concepts

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 to 1.

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.