setAssetMoments

Set moments (mean and covariance) of asset returns for Portfolio object

Syntax

obj = setAssetMoments(obj,AssetMean)

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

Description

obj = setAssetMoments(obj,AssetMean) obtains mean and covariance of asset returns for a Portfolio object. For details on the workflow, see Portfolio Object Workflow.

obj = setAssetMoments(obj,AssetMean,AssetCovar,NumAssets) obtains mean and covariance of asset returns for a Portfolio object with additional options for AssetCovar and NumAssets.

Examples

Set Asset Moments for a Portfolio Object

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 = 4×1

    0.0042
    0.0083
    0.0100
    0.0150

assetcovar = 4×4

    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

Input Arguments

obj — Object for portfolio

object

Object for portfolio, specified using a Portfolio object. For more information on creating a portfolio object, see

• Portfolio

Data Types: object

AssetMean — Mean of asset returns

vector

Mean of asset returns, specified as a 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.

Data Types: double

AssetCovar — Covariance of asset returns

symmetric positive semidefinite matrix

Covariance of asset returns, specified as a symmetric positive semidefinite matrix.

Note

• 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.

• If AssetCovar is not a symmetric positive semidefinite matrix, use nearcorr to create a positive semidefinite matrix for a correlation matrix.

Data Types: double

NumAssets — Number of assets

integer

Number of assets, specified as an integer.

Note

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

Data Types: double

Output Arguments

obj — Updated portfolio object

object for portfolio

Updated portfolio object, returned as a Portfolio object. For more information on creating a portfolio object, see

• Portfolio

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 NumAssets and AssetCovar, use this function to set these respective inputs to [].