Portfolio expected return and risk
An alternative for portfolio optimization is to use the
Portfolio object for
mean-variance portfolio optimization. This object supports gross or net
portfolio returns as the return proxy, the variance of portfolio returns
as the risk proxy, and a portfolio set that is any combination of the
specified constraints to form a portfolio set. For information on the
workflow when using
Portfolio objects, see Portfolio Object Workflow.
Computes the Expected Rate of Return and Risk for a Portfolio of Assets
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
ExpReturn — Expected (mean) return of each asset
Expected (mean) return of each asset, specified as a
ExpCovariance — Asset return covariances
Asset return covariances, specified as an
Wts — Weights allocated to each asset
1/NASSETS (equally weighted) (default) | matrix
(Optional) Weights allocated to each asset, specified as an
NASSETS matrix. Each row
represents a different weighting combination of the assets in the portfolio.
Wts is not entered, weights of
1/NASSETS are assigned to each security.
PortRisk — Standard deviation of each portfolio
Standard deviation of each portfolio, returned as an
PortReturn — Expected return of each portfolio
Expected return of each portfolio, returned an
Introduced before R2006a