Estimate Efficient Portfolios and Frontiers

Analyze efficient portfolios and efficient frontiers for portfolio

Objects

PortfolioMAD Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

`estimateFrontier`	Estimate specified number of optimal portfolios on the efficient frontier
`estimateFrontierByReturn`	Estimate optimal portfolios with targeted portfolio returns
`estimateFrontierByRisk`	Estimate optimal portfolios with targeted portfolio risks
`estimateFrontierLimits`	Estimate optimal portfolios at endpoints of efficient frontier
`plotFrontier`	Plot efficient frontier

`estimatePortStd`	Estimate standard deviation of portfolio returns
`estimatePortReturn`	Estimate mean of portfolio returns
`estimatePortRisk`	Estimate portfolio risk according to risk proxy associated with corresponding object

`setSolver`	Choose main solver and specify associated solver options for portfolio optimization
`setSolverMINLP`	Choose mixed integer nonlinear programming (MINLP) solver for portfolio optimization

Estimate Efficient Portfolios Along the Entire Frontier for PortfolioMAD Object
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
Obtaining Endpoints of the Efficient Frontier
Use theestimateFrontierLimitsfunction to obtain the endpoint portfolios.
Obtaining Efficient Portfolios for Target Returns
To obtain efficient portfolios with targeted portfolio returns, theestimateFrontierByReturnfunction accepts one or more target portfolios returns and obtains efficient portfolios.
Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios with targeted portfolio risks, theestimateFrontierByRisk函数接受一个或多个目标投资组合的风险s and obtains efficient portfolios.
Estimate Efficient Frontiers for PortfolioMAD Object
Given efficient portfolios, the functionsestimatePortReturnandestimatePortRiskprovide estimates for the return and risk.
Plotting the Efficient Frontier for a PortfolioMAD Object
TheplotFrontierfunction creates a plot of the efficient frontier for a given portfolio optimization problem.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.

PortfolioMAD Object Workflow
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
Choosing and Controlling the Solver for PortfolioMAD Optimizations
When solving portfolio optimizations for a PortfolioMAD object, all variations offminconfrom Optimization Toolbox™ are supported.
When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.