Portfolio Analysis

Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR)

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
`addBusinessCalendar`	Add business calendar awareness to timetables

These examples show how to construct portfolios on the efficient frontier.

One of the factors to consider when selecting the optimal portfolio for a particular investor is the degree of risk aversion.

This example shows how to minimize the variance of the difference in returns with respect to a given target portfolio.

This example plots the efficient frontier of a hypothetical portfolio of three assets.

This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.

This example plotsgammaas a function of price and time for a portfolio of 10 Black-Scholes options.

These examples show how to migrateportoptto a Portfolio object.

These examples show how to migratefrontconto a Portfolio object.

For portfolios constructed from a fixed set of assets, the risk and return profile varies with the portfolio composition.

Financial Toolbox™ functions for portfolio optimization.