Main Content

Portfolio Analysis

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

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.


ewstatsExpected return and covariance from return time series
frontierRolling efficient frontier
portallocOptimal capital allocation to efficient frontier portfolios
portrorPortfolio expected rate of return
selectreturnPortfolio configurations from 3-D efficient frontier
targetreturnPortfolio weight accuracy
portrandRandomized portfolio risks, returns, and weights
portoptPortfolios on constrained efficient frontier
portsimMonte Carlo simulation of correlated asset returns
portstatsPortfolio expected return and risk
portvarVariance for portfolio of assets
portvriskPortfolio value at risk (VaR)
periodicreturnsPeriodic total returns from total return prices
totalreturnpriceTotal return price time series
rollingreturnsPeriod-over-period rolling returns or differences from prices
addBusinessCalendarAdd business calendar awareness to timetables

Examples and How To

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 10 Black-Scholes options.

portopt Migration to Portfolio Object

These examples show how to migrate portopt to a Portfolio object.

frontcon Migration to Portfolio Object

These examples show how to migrate frontcon 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.