Main Content

本页的翻译已过时。点击此处可查看最新英文版本。

资产收益率和方案

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

示例和操作指南

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.

概念

PortfolioMAD Object Workflow

PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.