Universe — Total return data for a group of securities array
Total return data for a group of securities, specified as a
number of observations (NUMOBS) by number of
assets plus one (NASSETS + 1) time series
array. Each row represents an observation. Column 1 contains
MATLAB® serial date numbers. The remaining columns contain
the total return data for each security.
Data Types: double
Window — Number of data periods used to calculate each frontier positive integer
Number of data periods used to calculate each frontier,
specified as a positive integer value.
Data Types: double
Offset — Increment in number of periods between each frontier numeric
Increment in number of periods between each frontier, specified
as a numeric value.
Data Types: double
NumPorts — Number of portfolios to calculate on each frontier positive integer
Number of portfolios to calculate on each frontier, specified as
a positive integer.
Data Types: double
ActiveMap — Indicates if an asset is part of the Universe on the corresponding date NUMOBS-by-NASSETS
matrix of 1's (all assets active on all
dates) (default) | matrix
(Optional) Indicates if an asset is part of the
Universe on the corresponding date,
specified as a number of observations
(NUMOBS) by number of assets
(NASSETS) matrix with Boolean elements
corresponding to the Universe.
Data Types: double
Conset — Constraint matrix for a portfolio of asset investments matrix
Constraint matrix for a portfolio of asset investments,
specified using portcons with
the 'Default' constraint type. This single
constraint matrix is applied to each frontier..
Data Types: double
NumNonNan — Minimum number of non-NaN points for each active asset in each window of data Window -
NASSETS (default) | numeric value
Minimum number of non-NaN points for each
active asset in each window of data needed to perform the
optimization, specified as a numeric value.
Weights allocated to each asset., returned as a number of curves
(NCURVES)-by-1 cell
array, where each element is a
NPORTS-by-NASSETS
matrix of weights.
AllMean — Expected asset returns used to generate each curve on the surface vector
Expected asset returns used to generate each curve on the
surface, returned as an
NCURVES-by-1 cell
array, where each element is a
1-by-NASSETS vector
of the expected asset returns.
AllCovariance — Covariance matrix used to generate each curve on the surface vector
Covariance matrix used to generate each curve on the surface,
returned as an
NCURVES-by-1 cell
array, where each element is a
NASSETS-by-NASSETS
vector.
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