portrand (Financial Toolbox)

Randomized portfolio risks, returns, and weights

Syntax

[PortRisk, PortReturn, PortWts] = portrand(Asset, Return, Points)
portrand(Asset, Return, Points)

Arguments

Asset
Matrix of time series data. Each row is an observation and each column represents a single security.

Return
(Optional) Row vector where each column represents the rate of return for the corresponding security in Asset. By default, Return is computed by taking the average value of each column of Asset.

Points
(Optional) Scalar that specifies how many random points should be generated. Default = 1000.

`Asset`	Matrix of time series data. Each row is an observation and each column represents a single security.
`Return`	(Optional) Row vector where each column represents the rate of return for the corresponding security in `Asset`. By default, `Return` is computed by taking the average value of each column of `Asset`.
`Points`	(Optional) Scalar that specifies how many random points should be generated. Default = 1000.

Description

[PortRisk, PortReturn, PortWts] = portrand(Asset, Return, Points) returns the risks, rates of return, and weights of random portfolio configurations.

PortRisk
Points-by-1 vector of standard deviations.

PortReturn
Points-by-1 vector of expected rates of return.

PortWts
Points by number of securities matrix of asset weights. Each row of PortWts is a different portfolio configuration.

`PortRisk`	`Points`-by-1 vector of standard deviations.
`PortReturn`	`Points`-by-1 vector of expected rates of return.
`PortWts`	`Points` by number of securities matrix of asset weights. Each row of `PortWts` is a different portfolio configuration.

portrand(Asset, Return, Points) plots the points representing each portfolio configuration. It does not return any data to the MATLAB workspace.

See Also

frontcon

References

Bodie, Kane, and Marcus, Investments, Chapter 7.

portopt portsim