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 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.

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.