# Create Portfolio

Create Portfolio object for mean-variance portfolio optimization

To create a fully specified mean-variance portfolio optimization
problem, instantiate the `Portfolio`

object using
`Portfolio`

. For
information on the workflow when using `Portfolio`

objects, see Portfolio Object Workflow. For information about creating a Portfolio object, see Creating the Portfolio Object.

## Objects

`Portfolio` | Create Portfolio object for mean-variance portfolio optimization and analysis |

## Functions

## Topics

### Portfolio Operations

**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.

### Portfolio Optimizations

**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 Using Financial Toolbox**

Follow a sequence of examples that highlight features of the`Portfolio`

object.**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 Using Financial Toolbox**

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

class in Financial Toolbox™.**Portfolio Optimization Using Factor Models**

This example shows two approaches for using a factor model to optimize asset allocation under a mean-variance framework.**Portfolio Optimization Using Social Performance Measure**

Use a`Portfolio`

object to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.**Risk Budgeting Portfolio**

This example shows how to use`riskBudgetingPortfolio`

to create a risk budgeting portfolio and`portfolioRiskContribution`

to compute the risk contribution of the assets in the portfolio.**Backtest Using Risk-Based Equity Indexation**

This example shows how to use backtesting with a risk parity or equal risk contribution strategy rebalanced approximately every month as a risk-based indexation.**Create Hierarchical Risk Parity Portfolio**

This example shows how to compute a hierarchical risk parity (HRP) portfolio.**Risk Parity or Budgeting with Constraints**

This example shows how to solve risk parity or budgeting problems with constraints using`estimateCustomObjectivePortfolio`

.**Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting**

This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights.

### Covariance Estimation with Noise Reduction

**Compare Performance of Covariance Denoising with Factor Modeling Using Backtesting**

This example uses backtesting to compare the performance of two investment strategies that use factor information to compute the portfolio weights.**Comparison of Methods for Covariance Estimation**

Comparison of methods to use for covariance estimation.

### Portfolio Theory

**Portfolio Optimization Theory**

Portfolios are points from a feasible set of assets that constitute an asset universe.**Portfolio Object**

Using the Portfolio object and associated functions for portfolio optimization.**Default Portfolio Problem**

The default portfolio optimization problem has a risk and return proxy associated with a given problem, and a portfolio set that specifies portfolio weights to be nonnegative and to sum to`1`

.**When to Use Portfolio Objects Over Optimization Toolbox**

The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.**Role of Convexity in Portfolio Problems**

Characteristics of convexity, concavity, and nonconvexity in portfolio problems.

## Related Information

**Getting Started with Portfolio Optimization (4 min 13 sec)****Optimization in MATLAB for Financial Applications (63 min 00 sec)****MATLAB for Portfolio Construction: Smart Beta (5 min 29 sec)****Using MATLAB to Develop and Deploy Financial Applications (51 min 20 sec)****MATLAB Production Server for Financial Applications (38 min 28 sec)****Commodities Trading with MATLAB (44 min 28 sec)****Walk-Forward Analysis: Using MATLAB to Backtest Your Trading Strategy (35 min 16 sec)****Algorithmic Trading with MATLAB for Financial Applications (64 min 42 sec)****Automated Trading System Development with MATLAB (70 min 21 sec)**