Documentation

This is machine translation

Translated by Microsoft
Mouse over text to see original. Click the button below to return to the English verison of the page.

Asset Returns and Scenarios

Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data

Using Objects

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk 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

Examples and How To

Setting Scenarios Using the PortfolioCVaR Function

Suppose that you have a matrix of scenarios in the AssetScenarios variable, scenarios are set through the PortfolioCVaR function.

Setting Scenarios Using the setScenarios Function

Suppose that you have a matrix of scenarios in the AssetScenarios variable, scenarios are set through the setScenarios function.

Estimating the Mean and Covariance of Scenarios

The estimateScenarioMoments function obtains estimates for the mean and covariance of scenarios in a PortfolioCVaR object.

Simulating Normal Scenarios from Returns or Prices

Given either return or price data, use the function simulateNormalScenariosByData to simulate multivariate normal scenarios.

Simulating Normal Scenarios with Missing Data

Often when working with multiple assets, you have missing data indicated by NaN values in your return or price data.

Simulating Normal Scenarios from Time Series Data

The simulateNormalScenariosByData function accepts asset returns or prices stored in financial time series (fints) objects.

Simulating Normal Scenarios with Mean and Covariance

Given the mean and covariance of asset returns, use the simulateNormalScenariosByMoments function to simulate multivariate normal scenarios.

Working with a Riskless Asset

The PortfolioCVaR 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.

Concepts

How Stochastic Optimization Works

The CVaR portfolio optimization problem is a stochastic optimization problem.

What Are Scenarios?

The PortfolioCVaR object has functions to simulate multivariate normal scenarios from either data or moments.

PortfolioCVaR Object Workflow

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.

Was this topic helpful?