Portalloc

Computes the optimal risky portfolio on the efficient frontier, based on the risk-free rate, the borrowing rate, and the investor's degree of risk aversion. Also generates the capital allocation line, which provides the optimal allocation of funds between the risky portfolio and the risk-free asset.

frontcon

为给定的一组资产计算沿高效边界的投资组合。该计算基于代表每个资产的最大和最小权重的一组，以及指定资产组的最大和最小权重。

边境

为给定的一组资产计算沿高效边界的投资组合。Generates a surface of efficient frontiers showing how asset allocation influences risk and return over time.

portopt

为给定的一组资产计算沿高效边界的投资组合。The computation is based on a set of user-specified linear constraints. Typically, these constraints are generated using the constraint specification functions described below.

portcons

Generates the portfolio constraints matrix for a portfolio of asset investments using linear inequalities. The inequalities are of the typea*wts'<= b, whereWtsis a row vector of weights.

portvrisk

Portfolio value at risk (VaR) returns the maximum potential loss in the value of a portfolio over one period of time, given the loss probability levelRiskThreshold.

pcalims

Asset minimum and maximum allocation. Generates a constraint set to fix the minimum and maximum weight for each individual asset.

pcgcomp

Group-to-group ratio constraint. Generates a constraint set specifying the maximum and minimum ratios between pairs of groups.

pcglims

Asset group minimum and maximum allocation. Generates a constraint set to fix the minimum and maximum total weight for each defined group of assets.

PCPVAL

Total portfolio value. Generates a constraint set to fix the total value of the portfolio.

abs2active

Transforms a constraint matrix expressed in absolute weight format to an equivalent matrix expressed in active weight format.

Active2ABS

Transforms a constraint matrix expressed in active weight format to an equivalent matrix expressed in absolute weight format.