PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
Estimate Efficient Portfolios Along the Entire Frontier for PortfolioMAD Object
The most basic way to obtain optimal portfolios is to obtain points over the entire range of the efficient frontier.
Obtaining Endpoints of the Efficient Frontier
Use the estimateFrontierLimits
function
to obtain the endpoint portfolios.
Obtaining Efficient Portfolios for Target Returns
To obtain efficient portfolios with targeted portfolio
returns, the estimateFrontierByReturn
function
accepts one or more target portfolios returns and obtains efficient portfolios.
Obtaining Efficient Portfolios for Target Risks
To obtain efficient portfolios with targeted portfolio
risks, the estimateFrontierByRisk
function accepts
one or more target portfolio risks and obtains efficient portfolios.
Estimate Efficient Frontiers for PortfolioMAD Object
Given efficient portfolios, the functions estimatePortReturn
and estimatePortRisk
provide
estimates for the return and risk.
Plotting the Efficient Frontier for a PortfolioMAD Object
The plotFrontier
function creates
a plot of the efficient frontier for a given portfolio optimization
problem.
Portfolio Optimization with Semicontinuous and Cardinality Constraints
This example shows how to use a Portfolio object to directly handle semicontinuous and cardinality constraints.
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
Choosing and Controlling the Solver for PortfolioMAD Optimizations
When solving portfolio optimizations for a PortfolioMAD object, all variations
of fmincon
from Optimization Toolbox™ are supported.