WWW | Community | Store | Account | Contact Us
SHAZAM Homepage

PORTFOLIO

The PORTFOLIO command is used to calculate risk return portfolios using Markowitz models.

In general, the formats of the PORTFOLIO command are:

PORTFOLIO vars / options

PORTFOLIO vars weights / weights options

PORTFOLIO vars shares / shares options

The available options are:

OPTION DESCRIPTION
beg= Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
end= Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
equalweight Specifies that no share or weight information is provided as the portfolio contains equal weights for each asset.
graphdata Displays a scatterplot of the risks and returns for each of the stocks in the portfolio.
graphfront Plots the minimum-variance risk-return frontier for the stocks in the portfolio.
graphline Adds a line on the frontier plot from the risk-free rate of interest to the tangency point on the risk-return frontier. This will help define risk-return options if it is possible to borrow and lend at the risk-free rate of interest. This option automatically turns on the GRAPHFRONT option.
index= Specifies the name of a variable containing the price of a stock market index to be used in capital asset pricing model calculations.
inrates Specifies that the stock price data is in rates of return rather than the original stock price.
list Lists the rates of return on the SHAZAM output.
pfrontier Prints a listing of the minimum-variance risk-return frontier.
returns= Specifies a variable for saving the portfolio returns for the risk-return frontier (200 values are saved), the mean returns for each stock and the returns listed in the EFFICIENT PORTFOLIOS table on the SHAZAM output.
riskfree= Specifies the risk-free rate of interest. It should be in percent. For example, if the risk-free rate is 5%, enter RISKFREE=5. This option can be a scalar variable or a time series variable. If a time series variable is entered the risk-free rate is set to the average value.
risks= Specifies a variable for saving the portfolio standard deviations for the risk-return frontier, the standard deviations for each stock return and the standard deviations for the portfolios listed in the EFFICIENT PORTFOLIOS table on the SHAZAM output. Also see the RETURNS= option.
shares Specifies that the command line includes names of variables containing the corresponding number of shares for each stock price variable.
weights Specifies that the command line includes names of variables containing the corresponding weights for each stock price variable. The weights are normalized to sum to unity.
wide Uses a wider page width for the display of results. For printing, the page set-up should be set to landscape orientation.