Portfolio expected return and risk
computes the expected rate of return and risk for a portfolio of assets.
PortReturn] = portstats(
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.
specifies options using one or more optional arguments in addition to the input
arguments in the previous syntax.
PortReturn] = portstats(___,
Computes the Expected Rate of Return and Risk for a Portfolio of Assets
This example shows how to calculate the expected rate of return and risk for a portfolio of assets.
ExpReturn = [0.1 0.2 0.15]; ExpCovariance = [0.0100 -0.0061 0.0042 -0.0061 0.0400 -0.0252 0.0042 -0.0252 0.0225 ]; PortWts=[0.4 0.2 0.4; 0.2 0.4 0.2]; [PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,... PortWts)
PortRisk = 2×1 0.0560 0.0550
PortReturn = 2×1 0.1400 0.1300
ExpReturn — Expected (mean) return of each asset
Expected (mean) return of each asset, specified as a
ExpCovariance — Asset return covariances
Asset return covariances, specified as an
Wts — Weights allocated to each asset
1/NASSETS (equally weighted) (default) | matrix
(Optional) Weights allocated to each asset, specified as an
NASSETS matrix. Each row
represents a different weighting combination of the assets in the portfolio.
Wts is not entered, weights of
1/NASSETS are assigned to each security.
PortRisk — Standard deviation of each portfolio
Standard deviation of each portfolio, returned as an
PortReturn — Expected return of each portfolio
Expected return of each portfolio, returned an
Introduced before R2006a