Portfolios on constrained efficient frontier
As an alternative to portopt
, use
the Portfolio object (Portfolio
)
for meanvariance 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.
For more information on migrating portopt
code
to Portfolio
, see portopt Migration to Portfolio Object.
portopt
will be partially removed in a future
release will no longer accept ConSet
or varargin
arguments.
Use Portfolio
instead to solve
portfolio problems that are more than a longonly fullyinvested portfolio.
For more information on migrating portopt
code
to Portfolio
, see portopt Migration to Portfolio Object.
[PortRisk, PortReturn, PortWts] = portopt(ExpReturn, ExpCovariance,
NumPorts, PortReturn, ConSet, varargin)
 1 by number of assets ( 


 (Optional) Number of portfolios generated along the efficient
frontier. Returns are equally spaced between the maximum possible
return and the minimum risk point. If 
 (Optional) Expected return of each portfolio. A number
of portfolios ( 
 (Optional) Constraint matrix for a portfolio of asset
investments, created using 
 (Optional)

[PortRisk, PortReturn, PortWts] = portopt(ExpReturn,
ExpCovariance, NumPorts, PortReturn, ConSet, varargin)
returns
the meanvariance efficient frontier with userspecified covariance,
returns, and asset constraints (ConSet
). Given
a collection of NASSETS
risky assets, computes
a portfolio of asset investment weights that minimize the risk for
given values of the expected return. The portfolio risk is minimized
subject to constraints on the total portfolio value, the individual
asset minimum and maximum allocation, the asset group minimum and
maximum allocation, or the asset grouptogroup comparison.
PortRisk
is an NPORTS
by1
vector of the standard deviation of each portfolio.
PortReturn
is an NPORTS
by1
vector of the expected return of each portfolio.
PortWts
is an NPORTS
byNASSETS
matrix
of weights allocated to each asset. Each row represents a portfolio.
The total of all weights in a portfolio is 1.
If portopt
is invoked without output arguments,
it returns a plot of the efficient frontier.