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Classes in Financial Toolbox

  • By Category | Alphabetical List
  • Financial Time Series

    Create Time Series

    fints Construct financial time series object

    Asset Allocation and Portfolio Optimization

    Portfolio Optimization Theory

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Mean-Variance Portfolio Optimization

    Create Portfolio

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis

    Estimate Mean and Covariance for Returns

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis

    Specify Portfolio Constraints

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis

    Validate Portfolio

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis

    Estimate Efficient Portfolios and Frontiers

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis

    Conditional Value-at-Risk Portfolio Optimization

    Create Portfolio

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

    Asset Returns and Scenarios

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

    Specify Portfolio Constraints

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

    Validate Portfolio

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

    Estimate Efficient Portfolios and Frontiers

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

    Mean-Absolute Deviation Portfolio Optimization

    Create Portfolio

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Asset Returns and Scenarios

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Specify Portfolio Constraints

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Validate Portfolio

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Estimate Efficient Portfolios and Frontiers

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
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