Analyzing Portfolios

Portfolio managers concentrate their efforts on achieving the best possible trade-off between risk and return. For portfolios constructed from a fixed set of assets, the risk/return profile varies with the portfolio composition. Portfolios that maximize the return, given the risk, or, conversely, minimize the risk for the given return, are called最优. Optimal portfolios define a line in the risk/return plane called theefficient frontier.

A portfolio may also have to meet additional requirements to be considered. Different investors have different levels of risk tolerance. Selecting the adequate portfolio for a particular investor is a difficult process. The portfolio manager can hedge the risk related to a particular portfolio along the efficient frontier with partial investment in risk-free assets. The definition of the capital allocation line, and finding where the final portfolio falls on this line, if at all, is a function of:

The risk/return profile of each asset
The risk-free rate
The borrowing rate
The degree of risk aversion characterizing an investor

Financial Toolbox™ software includes a set of portfolio optimization functions designed to find the portfolio that best meets investor requirements.

Warning

frontconhas been removed. UsePortfolioinstead.

portopthas been partially removed and will no longer acceptConSetorvararginarguments.portoptwill only solve the portfolio problem for long-only fully invested portfolios. UsePortfolioinstead.

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Portfolio Object Workflow