Documentation

setAssetMoments

Class: Portfolio

Set moments (mean and covariance) of asset returns

Syntax

obj = setAssetMoments(obj,AssetMean)
obj = setAssetMoments(obj,AssetMean,AssetCovar,NumAssets)

Description

obj = setAssetMoments(obj,AssetMean) sets the mean of asset returns.

obj = setAssetMoments(obj,AssetMean,AssetCovar,NumAssets) sets moments (mean and covariance) of the asset returns with additional options for AssetCovar and NumAssets.

Tips

  • You can also use dot notation to set moments (mean and covariance) of the asset returns.

    obj = obj.setAssetMoments(obj, AssetMean, AssetCovar, NumAssets);
  • To clear AssetMean and AssetCovar, use this method to set these respective inputs to [].

Input Arguments

obj

Portfolio object [Portfolio].

AssetMean

Mean of asset returns [vector].

    Note:   If AssetMean is a scalar and the number of assets is known, scalar expansion occurs. If the number of assets cannot be determined, this method assumes that NumAssets = 1.

AssetCovar

(Optional) Covariance of asset returns [matrix].

    Note:   AssetCovar must be a symmetric positive-semidefinite matrix.

    If AssetCovar is a scalar and the number of assets is known, a diagonal matrix is formed with the scalar value along the diagonals. If it is not possible to determine the number of assets, this method assumes that NumAssets = 1.

    If AssetCovar is a vector, a diagonal matrix is formed with the vector along the diagonal.

NumAssets

(Optional) Number of assets [integer].

    Note:   If NumAssets is not already set in the object, NumAssets can be entered to resolve array expansions with AssetMean or AssetCovar.

Output Arguments

obj

Updated Portfolio object [Portfolio].

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes in the MATLAB® Object-Oriented Programming documentation.

Examples

expand all

Set Asset Moments

Set the asset moment properties, given the mean and covariance of asset returns in the variables m and C.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0;
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

p = Portfolio;
p = setAssetMoments(p, m, C);
[assetmean, assetcovar] = getAssetMoments(p)
assetmean =

    0.0042
    0.0083
    0.0100
    0.0150


assetcovar =

    0.0005    0.0003    0.0002         0
    0.0003    0.0024    0.0017    0.0010
    0.0002    0.0017    0.0048    0.0028
         0    0.0010    0.0028    0.0102

Was this topic helpful?