PortfolioMAD Object Workflow

The PortfolioMAD object workflow for creating and modeling a MAD portfolio is:

  1. Create a MAD Portfolio.

    Create a PortfolioMAD object for mean-absolute deviation (MAD) portfolio optimization. Creating the PortfolioMAD Object.

  2. Define asset returns and scenarios.

    Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data. For more information, see Asset Returns and Scenarios Using PortfolioMAD Object.

  3. Specify the MAD Portfolio Constraints.

    Define the constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints, 'Conditional' BoundType, and MinNumAssets, MaxNumAssets constraints. For more information, see Working with MAD Portfolio Constraints Using Defaults and Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using PortfolioMAD Objects.

  4. Validate the MAD Portfolio.

    Identify errors for the portfolio specification. For more information, see Validate the MAD Portfolio Problem.

  5. Estimate the efficient portfolios and frontiers.

    Analyze the efficient portfolios and efficient frontiers for a portfolio. For more information, see Estimate Efficient Portfolios Along the Entire Frontier for PortfolioMAD Object and Estimate Efficient Frontiers for PortfolioMAD Object.

  6. Postprocess the results.

    Use the efficient portfolios and efficient frontiers results to set up trades. For more information, see Postprocessing Results to Set Up Tradable Portfolios.

Related Topics