Portfolio expected return and risk
This example shows how to calculate the expected rate of return and risk for a portfolio of assets.
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 = 2×1 0.0560 0.0550
PortReturn = 2×1 0.1400 0.1300
ExpReturn— Expected (mean) return of each asset
Expected (mean) return of each asset, specified as a
ExpCovariance— Asset return covariances
Asset return covariances, specified as an
Wts— Weights allocated to each asset
1/NASSETS(equally weighted) (default) | matrix
(Optional) Weights allocated to each asset, specified as an
NASSETS matrix. Each row
represents a different weighting combination of the assets in the portfolio.
Wts is not entered, weights of
1/NASSETS are assigned to each security.
PortRisk— Standard deviation of each portfolio
Standard deviation of each portfolio, returned as an
PortReturn— Expected return of each portfolio
Expected return of each portfolio, returned an