Estimate specified number of optimal portfolios on the efficient frontier
[
estimates the specified number of optimal portfolios on the efficient frontier for
pwgt
,pbuy
,psell
]
= estimateFrontier(obj
)Portfolio
, PortfolioCVaR
, or
PortfolioMAD
objects. For details on the respective workflows when using
these different objects, see Portfolio Object Workflow, PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.
You can also use dot notation to estimate the specified number of optimal portfolios over the entire efficient frontier.
[pwgt, pbuy, psell] = obj.estimateFrontier(NumPorts);
When introducing transaction costs and turnover constraints to the
Portfolio
, PortfolioCVaR
, or
PortfolioMAD
object, the portfolio optimization objective contains a term
with an absolute value. For more information on how Financial Toolbox™ handles such cases algorithmically, see References.
[1] Cornuejols, G., and R. Tutuncu. Optimization Methods in Finance. Cambridge University Press, 2007.
estimateFrontierByReturn
| estimateFrontierByRisk
| estimateFrontierLimits
| setBounds
| setMinMaxNumAssets