Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
Objects
PortfolioMAD |
Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
Functions
getScenarios |
Obtain scenarios from portfolio object |
setScenarios |
Set asset returns scenarios by direct matrix |
estimateScenarioMoments |
Estimate mean and covariance of asset return scenarios |
simulateNormalScenariosByMoments |
Simulate multivariate normal asset return scenarios from mean and covariance of asset returns |
simulateNormalScenariosByData |
Simulate multivariate normal asset return scenarios from data |
setCosts |
Set up proportional transaction costs for portfolio |
Examples and How To
- Asset Returns and Scenarios Using PortfolioMAD Object
Compute the expectation for MAD with samples from the probability distribution of asset returns.
- Working with a Riskless Asset
The PortfolioMAD object has a separate
RiskFreeRate
property that stores the rate of return of a riskless asset. - Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
Concepts
- PortfolioMAD对象的工作流
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
- When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.