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estimatePortReturn

Estimate mean of portfolio returns

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Syntax

pret = estimatePortReturn(obj,pwgt)

Description

example

pret= estimatePortReturn(obj,pwgt)estimates the mean of portfolio returns (as the proxy for portfolio return) forPortfolio,PortfolioCVaR, orPortfolioMADobjects. For details on the respective workflows when using these different objects, seePortfolio Object Workflow,PortfolioCVaR Object Workflow, andPortfolioMAD对象的工作流.

Examples

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Open Live Script

Given portfoliop, use theestimatePortReturnfunction to estimate the mean of portfolio returns.

m = [ 0.05; 0.1; 0.12; 0.18 ]; C = [ 0.0064 0.00408 0.00192 0; 0.00408 0.0289 0.0204 0.0119; 0.00192 0.0204 0.0576 0.0336; 0 0.0119 0.0336 0.1225 ]; p = Portfolio; p = setAssetMoments(p, m, C); p = setDefaultConstraints(p); pwgt = estimateFrontierLimits(p); pret = estimatePortReturn(p, pwgt); disp(pret)
0.0590 0.1800
Open Live Script

Given portfoliop, use theestimatePortReturnfunction to estimate the mean of portfolio returns.

m = [ 0.05; 0.1; 0.12; 0.18 ]; C = [ 0.0064 0.00408 0.00192 0; 0.00408 0.0289 0.0204 0.0119; 0.00192 0.0204 0.0576 0.0336; 0 0.0119 0.0336 0.1225 ]; m = m/12; C = C/12; rng(11); AssetScenarios = mvnrnd(m, C, 20000); p = PortfolioCVaR; p = setScenarios(p, AssetScenarios); p = setDefaultConstraints(p); p = setProbabilityLevel(p, 0.95); pwgt = estimateFrontierLimits(p); pret = estimatePortReturn(p, pwgt); disp(pret)
0.0050 0.0154

The functionrng( s e e d ) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

Open Live Script

Given portfoliop, use theestimatePortReturnfunction to estimate the mean of portfolio returns.

m = [ 0.05; 0.1; 0.12; 0.18 ]; C = [ 0.0064 0.00408 0.00192 0; 0.00408 0.0289 0.0204 0.0119; 0.00192 0.0204 0.0576 0.0336; 0 0.0119 0.0336 0.1225 ]; m = m/12; C = C/12; rng(11); AssetScenarios = mvnrnd(m, C, 20000); p = PortfolioMAD; p = setScenarios(p, AssetScenarios); p = setDefaultConstraints(p); pwgt = estimateFrontierLimits(p); pret = estimatePortReturn(p, pwgt); disp(pret)
0.0048 0.0154

The functionrng( s e e d ) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

Input Arguments

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Object for portfolio, specified usingPortfolio,PortfolioCVaR, orPortfolioMADobject. For more information on creating a portfolio object, see

Data Types:object

Collection of portfolios, specified as aNumAssets-by-NumPortsmatrix, whereNumAssetsis the number of assets in the universe andNumPortsis the number of portfolios in the collection of portfolios.

Data Types:double

Output Arguments

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Estimates for means of portfolio returns for each portfolio inpwgt, returned as aNumPortsvector.

pretis returned for aPortfolio,PortfolioCVaR, orPortfolioMADinput object (obj).

Note

Depending on whether costs have been set, the portfolio return is either gross or net portfolio returns. For information on setting costs, seesetCosts.

Tips

You can also use dot notation to estimate the mean of portfolio returns (as the proxy for portfolio return).

pret = obj.estimatePortReturn(pwgt);

See Also

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Topics

Introduced in R2011a

Financial Toolbox Documentation

万博1manbetx

A Practical Guide to Modeling Financial Risk with MATLAB

A Practical Guide to Modeling Financial Risk with MATLAB

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