Estimate mean and covariance of asset returns from data
estimateAssetMoments
has been partially removed and will no longer
accept a fints
object for the
AssetReturns
argument. Use timetable
instead for financial time series.
Use fts2timetable
to convert a
fints
object to a timetable
object.
estimates mean and covariance of asset returns from data for a
obj
= estimateAssetMoments(obj
,AssetReturns
)Portfolio
object. For details on the workflow, see Portfolio Object Workflow.
estimates mean and covariance of asset returns from data for a Portfolio object
with additional options for one or more obj
= estimateAssetMoments(___,Name,Value
)Name,Value
pair
arguments.
You can also use dot notation to estimate the mean and covariance of asset returns from data.
obj = obj.estimateAssetMoments(AssetReturns);