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
在使用 PortfolioMAD
对象的情况下,使用函数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
PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
函数
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 |
主题
投资组合优化
- 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 separateRiskFreeRate
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.
投资组合理论
- 投资组合优化理论
投资组合是构成资产池的资产可行集中的点。 - PortfolioMAD 对象工作流
用于创建和建模均值-绝对偏差 (MAD) 投资组合的 PortfolioMAD 对象工作流。 - 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.