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资产收益和方案

评估投资组合资产收益率的方案,包括含缺失数据和金融时间序列数据的资产

对象

PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

函数

getScenariosObtain scenarios from portfolio object
setScenariosSet asset returns scenarios by direct matrix
estimateScenarioMomentsEstimate mean and covariance of asset return scenarios
simulateNormalScenariosByMomentsSimulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByDataSimulate multivariate normal asset return scenarios from data
setCostsSet up proportional transaction costs for portfolio

示例和操作指南

概念