投资组合分析

分析投资组合的收益率方差和协方差，模拟资产的相关性，计算投资组合的风险值 (VaR)

投资组合管理者专注于实现风险和收益之间的最佳平衡。对于基于一组固定资产构建的投资组合，风险/收益状况随投资组合的构成而变化。在给定风险下使收益率最大化的投资组合，或在给定收益率下使风险最小化的投资组合，称为最优投资组合。最优投资组合将风险/收益平面中的一条线定义为有效边界。有关投资组合优化的信息，请参阅Portfolio Optimization Functions。

函数

`ewstats`	Expected return and covariance from return time series
`frontier`	Rolling efficient frontier
`portalloc`	Optimal capital allocation to efficient frontier portfolios
`portror`	Portfolio expected rate of return
`selectreturn`	Portfolio configurations from 3-D efficient frontier
`targetreturn`	Portfolio weight accuracy
`portrand`	Randomized portfolio risks, returns, and weights
`portopt`	约束有效边界上的投资组合
`portsim`	Monte Carlo simulation of correlated asset returns
`portstats`	投资组合的预期收益和风险
`portvar`	资产投资组合的方差
`portvrisk`	投资组合的风险值 (VaR)
`periodicreturns`	Periodic total returns from total return prices
`totalreturnprice`	Total return price time series
`rollingreturns`	Period-over-period rolling returns or differences from prices (自 R2020b 起)
`addBusinessCalendar`	Add business calendar awareness to timetables (自 R2020b 起)

主题

投资组合构建示例
这些示例说明如何在有效边界上构建投资组合。
Portfolio Selection and Risk Aversion
One of the factors to consider when selecting the optimal portfolio for a particular investor is the degree of risk aversion.
Active Returns and Tracking Error Efficient Frontier
This example shows how to minimize the variance of the difference in returns with respect to a given target portfolio.
Plotting an Efficient Frontier Using portopt
This example plots the efficient frontier of a hypothetical portfolio of three assets.
绘制期权的敏感度
此示例创建一个三维绘图，该图显示 Black-Scholes 期权的 gama 相对于价格如何变化。
Plotting Sensitivities of a Portfolio of Options
This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.
portopt Migration to Portfolio Object
These examples show how to migrate portopt to a Portfolio object.
Analyzing Portfolios
For portfolios constructed from a fixed set of assets, the risk and return profile varies with the portfolio composition.
Portfolio Optimization Functions
Financial Toolbox™ functions for portfolio optimization.

投资组合分析

函数

主题

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