Portfolio Analysis
Portfolio managers concentrate their efforts on achieving the best possible trade-off between risk and return. For portfolios constructed from a fixed set of assets, the risk/return profile varies with the portfolio composition. Portfolios that maximize the return, given the risk, or, conversely, minimize the risk for the given return, are called optimal. Optimal portfolios define a line in the risk/return plane called the efficient frontier. For information on portfolio optimization, see Portfolio Optimization Functions.
Functions
ewstats | Expected return and covariance from return time series |
frontier | Rolling efficient frontier |
portalloc | Optimal capital allocation to efficient frontier portfolios |
portror | Portfolio expected rate of return |
selectreturn | Portfolio configurations from 3-D efficient frontier |
targetreturn | Portfolio weight accuracy |
portrand | Randomized portfolio risks, returns, and weights |
portopt | Portfolios on constrained efficient frontier |
portsim | Monte Carlo simulation of correlated asset returns |
portstats | Portfolio expected return and risk |
portvar | Variance for portfolio of assets |
portvrisk | Portfolio value at risk (VaR) |
periodicreturns | Periodic total returns from total return prices |
totalreturnprice | Total return price time series |
rollingreturns | Period-over-period rolling returns or differences from prices (Since R2020b) |
addBusinessCalendar | Add business calendar awareness to timetables (Since R2020b) |
Topics
- Portfolio Construction Examples
These examples show how to construct portfolios on the efficient frontier.
- Portfolio Selection and Risk Aversion
One of the factors to consider when selecting the optimal portfolio for a particular investor is the degree of risk aversion.
- Active Returns and Tracking Error Efficient Frontier
This example shows how to minimize the variance of the difference in returns with respect to a given target portfolio.
- Plotting an Efficient Frontier Using portopt
This example plots the efficient frontier of a hypothetical portfolio of three assets.
- Plotting Sensitivities of an Option
This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
- Plotting Sensitivities of a Portfolio of Options
This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.
- portopt Migration to Portfolio Object
These examples show how to migrate
portopt
to a Portfolio object. - Analyzing Portfolios
For portfolios constructed from a fixed set of assets, the risk and return profile varies with the portfolio composition.
- Portfolio Optimization Functions
Financial Toolbox™ functions for portfolio optimization.