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Portfolio Object Workflow

The Portfolio object workflow for creating and modeling a mean-variance portfolio is:

  1. Create a Portfolio.

    Create a Portfolio object for mean-variance portfolio optimization. For more information, see Creating the Portfolio Object.

  2. Estimate the mean and covariance for returns.

    Evaluate the mean and covariance for portfolio asset returns, including assets with missing data and financial time series data. For more information, see Asset Returns and Moments of Asset Returns Using Portfolio Object.

  3. Specify the Portfolio Constraints.

    Define the constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, turnover, tracking error, 'Conditional' BoundType, and MinNumAssets, MaxNumAssets constraints. For more information, see Working with Portfolio Constraints Using Defaults and Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using Portfolio Objects.

  4. Validate the Portfolio.

    Identify errors for the portfolio specification. For more information, see Validate the Portfolio Problem for Portfolio Object.

  5. Estimate the efficient portfolios and frontiers.

    Analyze the efficient portfolios and efficient frontiers for a portfolio. For more information, see Estimate Efficient Portfolios for Entire Efficient Frontier for Portfolio Object and Estimate Efficient Frontiers for Portfolio Object.

    Alternatively, you can estimate an optimal portfolio with a user-defined objective function for a Portfolio object. For details on using estimateCustomObjectivePortfolio to specify a user-defined objective function, see Solver Guidelines for Custom Objective Problems Using Portfolio Objects.

  6. Postprocess the results.

    Use the efficient portfolios and efficient frontiers results to set up trades. For more information, see Postprocessing Results to Set Up Tradable Portfolios.

For an example of this workflow, see Asset Allocation Case Study and Portfolio Optimization Examples Using Financial Toolbox™.

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