Set moments (mean and covariance) of asset returns for Portfolio object
Set the asset moment properties, given the mean and covariance of asset returns in the variables
m = [ 0.05; 0.1; 0.12; 0.18 ]; C = [ 0.0064 0.00408 0.00192 0; 0.00408 0.0289 0.0204 0.0119; 0.00192 0.0204 0.0576 0.0336; 0 0.0119 0.0336 0.1225 ]; m = m/12; C = C/12; p = Portfolio; p = setAssetMoments(p, m, C); [assetmean, assetcovar] = getAssetMoments(p)
assetmean = 4×1 0.0042 0.0083 0.0100 0.0150
assetcovar = 4×4 0.0005 0.0003 0.0002 0 0.0003 0.0024 0.0017 0.0010 0.0002 0.0017 0.0048 0.0028 0 0.0010 0.0028 0.0102
obj— Object for portfolio
Object for portfolio, specified using a
Portfolio object. For more
information on creating a portfolio object, see
AssetMean— Mean of asset returns
Mean of asset returns, specified as a vector.
AssetMean is a scalar and the number of assets is known, scalar
expansion occurs. If the number of assets cannot be determined, this method assumes that
AssetCovar— Covariance of asset returns
Covariance of asset returns, specified as a symmetric positive semidefinite matrix.
AssetCovar is a scalar and the number of assets is known, a
diagonal matrix is formed with the scalar value along the diagonals. If it is not possible
to determine the number of assets, this method assumes that
AssetCovar is a vector, a diagonal matrix is formed with the
vector along the diagonal.
AssetCovar is not a symmetric positive semidefinite matrix, use
create a positive semidefinite matrix for a correlation matrix.