matlab portopt,Portfolios on constrained efficient frontier

Description

[PortRisk,PortReturn,PortWts] = portopt(ExpReturn,ExpCovariance) sets

up the most basic portfolio problem with weights greater than or equal

to 0 that must sum to 1. All

that is necessary to solve this problem is the mean and covariance

of asset returns. The problem returns 10 equally-spaced points on

the efficient frontier by return.

[PortRisk,PortReturn,PortWts] = portopt(ExpReturn,ExpCovariance,NumPorts) sets

up the basic portfolio problem but lets you specify how many equally-spaced

points on the efficient frontier that you want in NumPorts.

If you specify 1, it returns the minimum-risk

portfolio.

[PortRisk,PortReturn,PortWts] = portopt(ExpReturn,ExpCovariance,NumPorts,PortReturn) sets

up the basic portfolio problem but lets you specify target returns

on the efficient frontier in the vector PortReturn.

This functionality requires that if you set PortReturn, NumPorts should

be empty.

Note

portopt generates a warning if have returns

outside the range and returns the portfolios at the endpoints of the

efficient frontier.

The outputs for portopt are:

PortRisk is an NPORTS-by-1 vector

of the standard deviation of each portfolio.

PortReturn is an NPORTS-by-1 vector

of the expected return of each portfolio.

PortWts is an NPORTS-by-NASSETS matrix

of weights allocated to each asset. Each row represents a portfolio.

The total of all weights in a portfolio is 1.

If portopt is invoked without output arguments,

it writes to the current figure window.