Financial Toolbox

portstats

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	(Optional) Number of portfolios (NPORTS) by NASSETS matrix of weights allocated to each asset. Each row represents a different weighting combination. Default = 1/NASSETS (equally weighted).

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
  

See Also

frontcon

portsim

portvrisk