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:
||Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
||Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
||Specifies that no share or weight information is provided as the portfolio contains equal weights for each asset.
||Displays a scatterplot of the risks and returns for each of the stocks in the portfolio.
||Plots the minimum-variance risk-return frontier for the stocks in the portfolio.
||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.
||Specifies the name of a variable containing the price of a stock market index to be used in capital asset pricing model calculations.
||Specifies that the stock price data is in rates of return rather than the original stock price.
||Lists the rates of return on the SHAZAM output.
||Prints a listing of the minimum-variance risk-return frontier.
||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.
||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.
||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.
||Specifies that the command line includes names of variables containing the corresponding number of shares for each stock price variable.
||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.
||Uses a wider page width for the display of results. For printing, the page set-up should be set to landscape orientation.