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数据转换

转换数据,包括对约束、协方差和持仓量的转换

函数

abs2activeConvert constraints from absolute to active format
active2absConvert constraints from active to absolute format
arith2geomArithmetic to geometric moments of asset returns
boxcoxBox-Cox 变换
corr2cov将标准差和相关性转换为协方差
cov2corr将协方差转换为标准差和相关系数
nearcorrCompute nearest correlation matrix by minimizing Frobenius distance
geom2arithGeometric to arithmetic moments of asset returns
holdings2weightsPortfolio holdings into weights
ret2tickConvert return series to price series
tick2ret将价格序列转换为收益序列
dateaxis将序列-日期轴标签转换为日历-日期轴标签
weights2holdingsPortfolio values and weights into holdings

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