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，这提供了风险投资组合与无风险资产之间的最佳资金分配。

frontcon

沿着特定资产群体的高效前沿计算投资组合。该计算基于表示每个资产的最大值和最小权重的约束集，以及指定资产组的最大值和最小总重量。

边境

沿着特定资产群体的高效前沿计算投资组合。Generates a surface of efficient frontiers showing how asset allocation influences risk and return over time.

portopt

沿着特定资产群体的高效前沿计算投资组合。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.