portrand (Financial Toolbox)

Randomized portfolio risks, returns, and weights.

Syntax

[risk, ror, weights] = portrand(asset, ret, pts)
[risk, ror, weights] = portrand(asset, ret)
[risk, ror, weights] = portrand(asset)
portrand(asset, ret, pts)

Arguments

asset: M-by-N matrix of time series data. Rows (M) are observations, and each column (N) represents a single security.

ret: 1-by-N vector where each column represents the rate of return for the corresponding security in asset. By default, ret is computed by taking the average value of each column of asset.

pts: Scalar that specifies how many random points should be generated. Default = 1000.

Description

[risk, ror, weights] = portrand(asset, ret, pts)

returns the risks, rates of return, and weights of random portfolio configurations.

risk: A pts-by-1 vector of standard deviations.

ror: A pts-by-1 vector of expected rates of return.

weights: A pts-by-N matrix of asset weights. Each row of weights is a different portfolio configuration.

portrand(asset, ret, pts)

plots the points representing each portfolio configuration. It does not return any data to the MATLAB workspace.

This function is used in the MATLAB Financial Expo and illustrates how multiple weighting combinations of the same portfolio will generate the same expected rate of return.