estimatePortMoments

Estimate moments of portfolio returns for Portfolio object

Syntax

[prsk,pret] = estimatePortMoments(obj,pwgt)

Description

[prsk,pret] = estimatePortMoments(obj,pwgt) estimate moments of portfolio returns for a Portfolio object. For details on the workflow, see Portfolio Object Workflow.

The estimate of port moments is specific to mean-variance portfolio optimization and computes the mean and standard deviation (which is the square-root of variance) of portfolio returns.

Examples

Identify the Range of Risks and Returns for Efficient Portfolios for a Portfolio Object

Given portfolio p, use the estimatePortMoments function to show the range of risks and returns for efficient portfolios.

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 ];
 
p = Portfolio;
p = setAssetMoments(p, m, C);
p = setDefaultConstraints(p);
pwgt = estimateFrontierLimits(p);

[prsk, pret] = estimatePortMoments(p, pwgt);
disp([prsk, pret]);

    0.0769    0.0590
    0.3500    0.1800

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

pwgt — Collection of portfolios

matrix

Collection of portfolios, specified as a NumAssets-by-NumPorts matrix where NumAssets is the number of assets in the universe and NumPorts is the number of portfolios in the collection of portfolios.

Data Types: double

Output Arguments

prsk — Estimates for standard deviations of portfolio returns for each portfolio in pwgt

vector

Estimates for standard deviations of portfolio returns for each portfolio in pwgt, returned as a NumPorts vector.

prsk is returned for a Portfolio input object (obj).

pret — Estimates for means of portfolio returns for each portfolio in pwgt

vector

Estimates for means of portfolio returns for each portfolio in pwgt, returned as a NumPorts vector.

pret is returned for a Portfolio input object (obj).

Tips

You can also use dot notation to estimate the moments of portfolio returns.

[prsk, pret] = obj.estimatePortMoments(pwgt);