portror

Portfolio expected rate of return

Syntax

R = portror(Return,Weight)

Description

R = portror(Return,Weight) returns a 1-by-M vector for the expected rate of return.

Note

An alternative for portfolio optimization is to use the Portfolio object for mean-variance 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.

Examples

Portfolio Expected Rate of Return

This example shows a portfolio that is made up of two assets ABC and XYZ having expected rates of return of 10% and 14%, respectively. If 40% percent of the portfolio's funds are allocated to asset ABC and the remaining funds are allocated to asset XYZ, the portfolio's expected rate of return is:

r = portror([.1 .14],[.4 .6])

r = 
0.1240

Input Arguments

Return — Rates of return

matrix

Rates of return, specified as a 1-by-N matrix. Each column of Return represents the rate of return for a single security.

Data Types: double

Weight — Weights

matrix

Weights, specified as a M-by-N matrix. Each row of Weight represents a different weighting combination of the assets in the portfolio.

Data Types: double

Output Arguments

R — Expected rate of return

vector

Expected rate of return, returned as a 1-by-M vector.

References

[1] Zvi Bodie, Alex Kane, Alan Marcus. Investments. McGraw-Hill Education; 10th edition (September 9, 2013).

Version History

Introduced before R2006a