Creating the Portfolio Object

To create a fully specified mean-variance portfolio optimization problem, instantiate the Portfolio object using the Portfolio function.

Common Operations on the Portfolio Object

Common operations for setting up a Portfolio object.

Setting Up an Initial or Current Portfolio

The Portfolio object property InitPort lets you identify an initial or current portfolio.

Setting Up a Tracking Portfolio

The Portfolio object property TrackingPort lets you identify a tracking portfolio.

Asset Allocation Case Study

This example shows how to set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.

Portfolio Optimization Examples

The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™.

Portfolio Optimization Against a Benchmark

This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.

Leverage in Portfolio Optimization with a Risk-Free Asset

This example shows how to use the setBudget function for the Portfolio class to define the limits on the sum(AssetWeight_i) in risky assets.

Portfolio Optimization with Semicontinuous and Cardinality Constraints

This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.

Black-Litterman Portfolio Optimization

This example shows the workflow to implement the Black-Litterman model with the Portfolio class.

Portfolio Optimization Using Factor Models

This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.