Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
|Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis|
|Obtain scenarios from portfolio object|
|Set asset returns scenarios by direct matrix|
|Estimate mean and covariance of asset return scenarios|
|Simulate multivariate normal asset return scenarios from mean and covariance of asset returns|
|Simulate multivariate normal asset return scenarios from data|
|Set up proportional transaction costs for portfolio|
- 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
RiskFreeRateproperty 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 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.