Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
Working with a PortfolioMAD object,
use functions to 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 |
Topics
Portfolio Optimizations
- 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 separateRiskFreeRateproperty 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.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - PortfolioMAD Object Workflow
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.
