portstats (Financial Toolbox)

Portfolio expected return and risk.

Syntax

[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance, 
PortWts)

Arguments


`ExpReturn`	`1`-by-number of assets (`NASSETS`) vector specifying the expected (mean) return of each asset.
`ExpCovariance`	`NASSETS`-by-`NASSETS` matrix specifying the covariance of the asset returns.
`PortWts`	Number of portfolios (`NPORTS`)-by-`NASSETS` matrix of weights allocated to each asset. Each row represents a different weighting combination. Default = `1`/`NASSETS`.

Description

[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance, 
PortWts)

computes the expected rate of return and risk for a portfolio of assets.

PortRisk is an NPORTS-by-1 vector of the standard deviation of each portfolio.

PortReturn is an NPORTS-by-1 vector of the expected return of each portfolio.

Examples

ExpReturn = [0.1 0.2 0.15]; 
ExpCovariance = [
    0.0100   -0.0061    0.0042 
   -0.0061    0.0400   -0.0252 
    0.0042   -0.0252    0.0225 ];
PortWts=[0.4 0.2 0.4; 0.2 0.4 0.2];
[PortRisk, PortReturn] = portstats(ExpReturn, ExpCovariance,... 
PortWts)
PortRisk =

    0.0560
    0.0550
PortReturn =

    0.1400
    0.1300