Custom Portfolio Optimization
Portfolio object with the
estimateCustomObjectivePortfolio function to compute the
solution to a custom objective problem. The
estimateCustomObjectivePortfolio function receives a
function handle with the user-defined objective function and returns a
vector of portfolio weights. Also, you can use constraints for the
Portfolio object, such as
linear equality and inequality, bound, budget, group, group ratio,
turnover, and tracking error constraints.
|Create Portfolio object for mean-variance portfolio optimization and analysis|
Portfolio Constraints Functions
|Set up bounds for portfolio weights for portfolio|
|Set up group constraints for portfolio weights|
|Set cardinality constraints on the number of assets invested in a portfolio|
|Set up group ratio constraints for portfolio weights|
|Set up linear equality constraints for portfolio weights|
|Set up linear inequality constraints for portfolio weights|
|Set up budget constraints for portfolio|
|Set up one-way portfolio turnover constraints|
|Set up maximum portfolio turnover constraint|
|Set up maximum portfolio tracking error constraint|
Custom Objective Function
- Risk Parity or Budgeting with Constraints
This example shows how to solve risk parity or budgeting problems with constraints using
- Solve Robust Portfolio Maximum Return Problem with Ellipsoidal Uncertainty
This example shows a robust formulation of portfolio optimization with uncertainty in the assets returns.
- Solve Problem for Minimum Tracking Error with Net Return Constraint
This example shows how to use
estimateCustomObjectivePortfolioto solve a portfolio problem for minimum tracking error with a net return constraint using a custom objective.
- Solve Problem for Minimum Variance Portfolio with Tracking Error Penalty
This example shows how to compute a portfolio that minimizes the tracking error subject to a benchmark portfolio.
- Portfolio Optimization Against a Benchmark
This example demonstrates optimizing a portfolio to maximize the information ratio relative to a market benchmark.
- Portfolio Optimization Using Social Performance Measure
Portfolioobject to minimize the variance, maximize return, and maximize the average percentage of women on a company's board.
- Diversify Portfolios Using Custom Objective
This example shows three techniques of asset diversification in a portfolio using the
estimateCustomObjectivePortfoliofunction with a
- Single Period Goal-Based Wealth Management
This example shows a method for goal-based wealth management (GBWM).
- Dynamic Portfolio Allocation in Goal-Based Wealth Management for Multiple Time Periods
This example shows a dynamic programming strategy to maximize the probability of obtaining an investor's wealth goal at the end of the investment horizon.
- Role of Convexity in Portfolio Problems
Characteristics of convexity, concavity, and nonconvexity in portfolio problems.
- 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.
- Choosing and Controlling the Solver for Mean-Variance Portfolio Optimization
The default solver for mean-variance portfolio optimization is
- Choose MINLP Solvers for Portfolio Problems
Tables listing types of MINLP solvers that you can select to find the solution to different portfolio problems.
- Troubleshooting Portfolio Optimization Results
Resources for troubleshooting portfolio optimization results.