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portstats

Portfolio expected return and risk

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Syntax

[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance)
[PortRisk,PortReturn] = portstats(___,Wts)

Description

example

[PortRisk,PortReturn] = portstats(ExpReturn,ExpCovariance)computes the expected rate of return and risk for a portfolio of assets.

example

[PortRisk,PortReturn] = portstats(___,Wts)specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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Open Live Script

This example shows how to calculate the expected rate of return and risk for a portfolio of assets.

ExpReturn = [0.1 0.2 0.15]; ExpCovariance = [0.0100 -0.0061 0.0042 -0.0061 0.0400 -0.0252 0.0042 -0.0252 0.0225 ]; PortWts=[0.4 0.2 0.4; 0.2 0.4 0.2]; [PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,...PortWts)
PortRisk =2×10.0560 0.0550
PortReturn =2×10.1400 0.1300

Input Arguments

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Expected (mean) return of each asset, specified as a1-by-NASSETSvector.

Data Types:double

Asset return covariances, specified as anNASSETS-by-NASSETSmatrix.

Data Types:double

(Optional) Weights allocated to each asset, specified as anNPORTS-by-NASSETSmatrix. Each row represents a different weighting combination of the assets in the portfolio. IfWtsis not entered, weights of1/NASSETSare assigned to each security.

Data Types:double

Output Arguments

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Standard deviation of each portfolio, returned as anNPORTS-by-1vector.

Expected return of each portfolio, returned anNPORTS-by-1vector.

版本历史

Introduced before R2006a

See Also

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