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估计值

Estimate mean of portfolio returns

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Syntax

Pret =估计值(obj,pwgt)

描述

example

pret= estimatePortReturn(obj,pwgt)estimates the mean of portfolio returns (as the proxy for portfolio return) for文件夹,文件夹CVaR, or投资组合objects. For details on the respective workflows when using these different objects, see投资组合对象工作流程,投资组合对象工作流程， 和PortfolioMAD对象工作flow.

例子

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打开实时脚本

给定投资组合p, use the估计值function 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
打开实时脚本

Create a文件夹三个资产的对象。

AssetMean = [ 0.0101110; 0.0043532; 0.0137058 ]; AssetCovar = [ 0.00324625 0.00022983 0.00420395; 0.00022983 0.00049937 0.00019247; 0.00420395 0.00019247 0.00764097 ]; p = Portfolio('AssetMean'，资产，'AssetCovar', AssetCovar); p = setDefaultConstraints(p);

利用setBounds设置半连续约束xi=0或者0.02<=xi<=0.5for alli=1,...努力。

p = setBounds（p，0.02，0.5，'BoundType','Conditional','NumAssets', 3);

When working with a文件夹object, thesetminmaxnumassets功能使您可以为长期仅投资组合设置基数约束。这设置了针对的基数约束文件夹object, where the total number of allocated assets satisfying the nonzero semi-continuous constraints are betweenMinNumAssets和MaxNumAssets. By settingMinNumAssets=MaxNumAssets= 2，三个资产中只有两个投资于投资组合。

p = setminmaxnumassets（p，2，2）;

利用估计值toe气氛均值投资组合的平均值文件夹目的。

PWGT =估算frontierlimits（p）;pret =估计孢子（p，pwgt）
Pret =2×10.0072 0.0119

The估计值function uses the MINLP solver to solve this problem. Use thesetSolverMINLP功能以配置solverType和options.

p.solverOptionsMINLP
ans =带有字段的结构：MaxIterations: 1000 AbsoluteGapTolerance: 1.0000e-07 RelativeGapTolerance: 1.0000e-05 NonlinearScalingFactor: 1000 ObjectiveScalingFactor: 1000 Display: 'off' CutGeneration: 'basic' MaxIterationsInactiveCut: 30 ActiveCutTolerance: 1.0000e-07 IntMasterSolverOptions: [1x1 optim.options.Intlinprog]NumIterationsArelintegerConvergence：30
打开实时脚本

给定投资组合p, use the估计值function 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

功能RNG( 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.

打开实时脚本

给定投资组合p, use the估计值function 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

功能RNG( 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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投资组合的对象, specified using文件夹,文件夹CVaR, or投资组合目的。有关创建投资组合对象的更多信息，请参见

Data Types:object

投资组合的收集, specified as aNumAssets-经过-NumPorts矩阵，哪里NumAssets是宇宙中的资产数量NumPorts是投资组合集合中的投资组合数量。

Data Types:双倍的

Output Arguments

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Estimates for means of portfolio returns for each portfolio inpwgt, returned as aNumPorts向量。

pret被退回文件夹,文件夹CVaR, or投资组合input 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, seesetCost.

提示

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

Pret =obj.estimatePortReturn(pwgt);

Version History

在R2011a中引入

See Also

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