Risk and Asset Allocation: ChoiceOptimal(Market,InvestorProfile) - File Exchange

Code covered by the BSD License

Highlights from
Risk and Asset Allocation

...
Addition(x,y);
Adendotd(dense, d, sparAd, Ab...
Amul(At,dense,x,transp)
BivStandardTPDF(x,y,r,nu)
ChoiceGeneric(Market,Investor... little perturbation to the right of the frontier
ChoiceOptimal(Market,Investor...
ChoiceOptimal(Market,Investor...
ChoiceOptimal(Market,Investor...
ChoiceOptimal(Market,Investor...
ChoiceOptimal(Market,Investor...
ChoiceSubOptimal(Market,Inves... this is the equally weighted allocation ....
Constraints(x,P)
Cost(Allocation,Market,Invest...
Cost(Allocation,Market,Invest...
Cost(Allocation,Market,Invest...
Cost(Allocation,Market,Invest...
DecisionBayesParameters(Marke... % estimate market parameters
DecisionBestPerfomer(Market,I... % find index of best performer
DecisionPrior(Market,Investor... prior is the equally weighted allocation
DecisionSample(Market,Investo... % estimate market parameters
E=TwoDimEllipsoid(Location,Sq...
E=TwoDimEllipsoid(Location,Sq...
E=TwoDimEllipsoid(Location,Sq...
EMforT(x,Nu,Tolerance)
EfficientFrontier(NumPortf, C... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, C... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, C... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, C... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, C... % determine exp value of minimum-variance portfolio
EfficientFrontier(NumPortf, E... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, E... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontierNoConstr(Tar... determine exp value of minimum-variance portfolio
G_Hat_1(X)
G_Hat_2(X)
InvWishCorr(S,Nu,NumCases)
L=Lklhd(Theta,X,T,N,VecIndex) this function computes the likelihood of an N-variate normal sample of length T
LogLik(x,Nu,Mu,Sigma)
LogLik(x,Nu,Mu,Sigma)
LogTCopulaPDF(u,nu,Mu,Sigma) this function computes the pdf of the copula of the log-t distribution
LogTPDF(x,nu,Mu,Sigma) this function computes the pdf of the N-variate log-t distribution
LognormalCopulaPDF(u,Mu,Sigma... this function computes the pdf of the copula of the lognormal distribution
LognormalPDF(x,Mu,Sigma) this function computes the pdf of the N-variate lognormal distribution
MktProjection(Exp_Yr_Comp_Ret...
MleRecursionForT(x,Nu,Toleran... this function computes recursively the ML estimators of location and scatter
NormalCopulaCDF(u,Mu,Sigma)
NormalCopulaCDF(u,Mu,Sigma)
NormalCopulaPDF(u,Mu,Sigma) this function computes the pdf of the copula of the normal distribution
NormalPDF(x,Mu,Sigma) this function computes the pdf of the N-variate normal distribution
OutlierCutoff(d,d_0)
PlotFrontier(Portfolios)
PlotFrontier(Portfolios)
PlotNIWMarginals(Mu_Simul,Inv... this function plots numerically and analytically the marginal pdf of
PopK(d,x,K,lpq)
PriorPDF(Theta,Theta_0,c_0,N,... This function computes the joint pdf of the normal-inverse-Wishart distribution. For notation and theory
ProcessNPlotFrontier(T_0,Nu_0...
Q=QuantileNormalMixture(c,ps,... this function computes the quantile for a mixture of normals
Rejected=RejectOutlier(Sample... this function finds the "worst" outlier in a time series.
RunAnalysis(Dates,Data) this function performs simple invariance (i.i.d.) tests on a time series
Satisfaction(Allocation,Marke...
Satisfaction(Allocation,Marke...
Satisfaction(Allocation,Marke...
Satisfaction(Allocation,Marke...
Satisfaction(Allocation,Marke...
TCopulaCDF(u,nu,Mu,Sigma)
TCopulaPDF(u,nu,Mu,Sigma) this function computes the pdf of the copula of the t distribution
TPDF(x,nu,Mu,Sigma) this function computes the pdf of the N-variate t distribution
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
UniformEllipticalPDF(x,Mu,Sig... this function computes the pdf of the N-variate
WishartPDF(W,nu,S) this function computes the pdf of the NxN-variate Wishart distribution
[Dates,ZeroPrices]=ProcessDB(... fixed-income invariance quest from
[E,V,MV_ExpectedValue,MV_Vari... compute useful parameters
[E,V,MV_ExpectedValue,MV_Vari... compute useful parameters
[E,V,MV_ExpectedValue,MV_Vari... compute useful parameters
[E_EM, S_EM, Y, CountLoop]=EM... this function implements the Expectation-Maximization (EM) algorithm to recover
[E_hat,V_hat]=UnevenSeriesEst... this function estimates the parameters of a multivariate normal distribution
[Expected_Value,Covariance,St... this function computes analytically the summary statistics of a lognormal variable
[M,S]=Log2Lin(Mu,Sigma)
[M,S]=Log2Lin(Mu,Sigma)
[MVE_Location,MVE_Dispersion]... this function computes the minimum volume ellipsoid for a given time series.
[Mu,Sigma,InvSigma]=randNIW(M... this function generates a multivariate i.i.d. sample of lenght J from the
[Mu,Sigma]=HubertM(x) this function computes the location and scatter parameters
[Mu,Sigma]=NormalMLE(X)
[Mu_shr, Sigma_shr]=ShrinkLoc... % standard sample estimate
[Nu,Mu,Sigma]=FitT(x)
[Nu,Mu,Sigma]=StudentMLE(x) This function computes the maximum-likelihood estimate of the
[newAt,newb,newc,newK,prepinf... [newAt,newb,newc,newK,prepinfo]=preprocessSDP(At,b,c,K)
[x,info]=RobSocpMVPortf(m,q,T... this function transforms the SOCP mean-variance problem in SeDuMi format
[x,y,K]=postprocessSDP(newx,n... [x,y,K]=postprocessSDP(newx,newy,prepinfo,newK)
a2=PlotEstimatorStressTest(Lo... plot loss
a2=PlotEstimatorStressTest(Lo... plot loss
a2=PlotEstimatorStressTest(Lo... plot loss
a2=PlotEstimatorStressTest(Lo... plot loss
a2=PlotEstimatorStressTest(Lo... plot loss
a2=PlotEstimatorStressTest(Lo... plot loss
asmDxq(d, x, K, ddotx)
blkchol(L,X,pars,absd)
bwblkslv(L,b) BWBLKSLV Solves block sparse upper-triangular system.
bwdpr1(Lden, b)
cellK(x,K)
checkpars(pars,lponly) pars = checkpars(pars,lponly)
ddot(d,X,blkstart, Xblkjc)
deninfac(symLden, L,dense,DAt...
dpr1fact(x, d, Lsym, smult, m...
e=FitError(gamma,X,Y,Correlat...
eigK(x,K)
extractA(At,Ajc,blk0,blk1,blk... Apart = extractA(At,Ajc,blk0,blk1,blkstart[,blkstart2])
eyeK(K)
findblks(At,Ablkjc,blk0,blk1,... Ablk = findblks(At,Ablkjc,blk0,blk1,blkstart)
finsymbden(LAD,perm,dz,firstq... Lden = finsymbden(LAD,perm,dz,firstq)
frameit(lab,frmq,frms,K)
fwblkslv(L,b) FWBLKSLV Solves block sparse upper-triangular system.
fwdpr1(Lden, b)
getDAt(At,Ablk,colsel, d,ud,K...
getDAtm(A,Ablkjc,dense,DAtden...
getada1(ADA, A,Ajc2,perm, d, ...
getada2(ADA, DAt,Aord, K)
getada3(ADA, A,Ajc1,Aord, uds...
getdense(At,Ablkjc,K,pars)
getsymbada(At,Ablkjc,DAt,psdb... SYMBADA = getsymbada(At,Ajc,DAt,psdblkstart)
givensrot(gjc,g,x,K)
h_ellips=TwoDimEllipsoid(Loca... this function computes the location-dispersion ellipsoid
incorder(At,Ajc1,ifirst)
invcholfac(u,K, perm)
iswnbr(w,thetaSQR)
loopPcg(L,Lden,At,dense,d, DA...
makereal(x,K,cpx)
mat(x,n)
maxstep(dx,x,auxx,K)
my_fprintf(fid, varargin) This function is needed because Matlab R2006B does not support fprintf with
optstep(A,b,c, y0,y,d,v,dxmdz...
ordmmdmex(adjncy) perm = ordmmdmex(adjncy)
partitA(At,blkstart) Ablkjc = partitA(At,blkstart)
posttransfo(x,y,prep,K,pars)
pretransfo(At,b,c,K,pars)
psdeig(x,K)
psdfactor(x,K)
psdinvjmul(xlab,xfrm, y, K)
psdmul(x,y, K)
psdscale(ud,x,K [,transp])
qblkmul(mu,d,blkstart)
qframeit(lab,frmq,K)
qinvjmul(labx,frmx,b,K)
qjmul(x,y,K)
qreshape(x,flag, K)
quadadd(xhi,xlo,y)
r2=R2(I_k,Cov_XX,Cov_XF,Cov_F...
rotlorentz(c,K)
sddir(L,Lden,Lsd,pv,...
sdfactor(L,Lden, dense,DAt, d...
sdinit(At,b,c,dense,K,pars)
sedumi(A,b,c,K,pars)
sortnnz(At,Ajc1,Ajc2)
sparbwslv(L,b) SPARBWSLV Solves block sparse upper-triangular system.
sparfwslv(L,b, ysymb) SPARFWSLV Solves block sparse upper-triangular system.
sparsity=spars(x) Returns the sparsity of the matrix/vector x. It works for sparse and dense
sqrtinv(q,vlab,K)
statsK(K)
stepdif(d,R,y0,x,y,z,dy0,dx,d...
symbchol(X,cachsz)
symbcholden(L,dense,DAt) Lden = symbcholden(L,dense,DAt)
symfctmex(adjncy, perm, cachs...
tdet(x,K)
triumtriu(r,u,K)
trydif(t,wrIN,wIN, x,z, pars,...
updtransfo(x,z,w, dIN,K)
urotorder(u,K, maxu,permIN)
vec(X)
veccomplex(x,cpx,K)
vecsym(x,K)
vectril(x,K)
whichcpx(K)
widelen(xc,zc,y0, dx,dz,dy0,d...
wrapPcg(L,Lden,At,dense,d, DA...
Contents.m
EstimateNGeneratePrior.m
PlotBlackLittAllocation.m
PlotDeceptionInMV.m
PlotEvaluationBayesian.m
PlotEvaluationGeneric.m
PlotEvaluationPrior.m
PlotEvaluationSample.m
PlotSampleInMV.m
PlotTotalRetsVsRelativeRets.m
S_AffineConstraint.m
S_AnalyzeLognormalCorrelation...
S_AnalyzeNIWPriorPosterior.m
S_AnalyzeNormalCorrelation.m
S_AssessNModifyViews.m
S_BlackLitterman.m
S_BlackLittermanVsBruteForce.m
S_BondPrices.m
S_COP.m
S_CaseStudy.m
S_CaseStudyPCAEmprical.m
S_CaseStudyPCALimitContinuum.m
S_CaseStudySwapDistribution.m
S_CopulaMarginalDecomposition...
S_CornishFisher.m
S_DeceptionInMV.m
S_DifferentHorizons.m
S_DisplayCopulaCDF.m
S_DisplayCopulaPDF.m
S_DisplayLogTPDF.m
S_DisplayLognormalPDF.m
S_DisplayMleRecursionForT.m
S_DisplayNormalPDF.m
S_DisplayRobustness.m
S_DisplayRobustness.m
S_DisplayTPDF.m
S_DisplayUniformPDF.m
S_DisplayWishartPDF.m
S_DiversificationCorrelation.m
S_DiversificationNumAssets.m
S_ES_Contributions.m
S_ES_is_HomogConcave.m
S_EVT.m
S_EigenvalueDispersion.m
S_EllipsoidGeometryVsStatisti...
S_EllipsoidLogNormal.m
S_EllipsoidNormal.m
S_Elliptical2Dim.m
S_Elliptical3Dim.m
S_EllipticalNDim.m
S_EquitiesInvariants.m
S_EquivarianceLogNormal.m
S_EquivarianceNormal.m
S_EstimateExpectedValueEvalua...
S_EvaluationBayesian.m
S_EvaluationGeneric.m
S_EvaluationPrior.m
S_EvaluationSample.m
S_ExponentialUtil_is_TranslIn...
S_FixedIncomeInvariants.m
S_Gamma.m
S_GammaCdf.m
S_GenericCopula.m
S_Grades.m
S_HighBreakdownMVE.m
S_Introduction.m
S_KendallTau.m
S_KernelQuantile.m
S_LeadingExample.m
S_LogNormal.m
S_LogT.m
S_LogTCopulaSimul.m
S_Lognormal.m
S_LognormalCopulaSimul.m
S_MCMC.m
S_MissingValuesEM.m
S_Motivation.m
S_MotivationsBL.m
S_NoEquivarianceMedian.m
S_Normal.m
S_Normal.m
S_NormalCDF.m
S_NormalCopulaSimul.m
S_NormalMatrix.m
S_OLS.m
S_OptionsInvariants.m
S_OrderStatistics.m
S_OrderStatisticsPDFCentralGa...
S_OrderStatisticsPDFLogn.m
S_OrderStatisticsPDFStudentT.m
S_PCA2Dim.m
S_PCA3Dim.m
S_PCAvsRegression.m
S_PowerUtil_ContributionsToSa...
S_PowerUtil_is_Homogeneous.m
S_PricesVsReturns.m
S_PricingAnyOrder.m
S_PricingCallOption.m
S_PriorCorrelationParametric.m
S_PriorCorrelationUniform.m
S_Projection_Beta.m
S_Projection_Gamma.m
S_Projection_Lognormal.m
S_Projection_NonParam.m
S_Projection_T.m
S_ProspectTheory_isnot_Concav...
S_Regression2Dim.m
S_Regression3Dim.m
S_Regularization.m
S_RobustBayesMV.m
S_RobustBayesMVSimulations.m
S_RobustBayesSnP.m
S_RobustMV.m
S_SampleMVCoordinates.m
S_SampleMeanCov.m
S_SatisfactionVsCorrelation.m
S_SelectFactors.m
S_ShrinkageEstimators.m
S_SimulationsVsAnalytical.m
S_SimulationsVsAnalytical.m
S_SpearmanRho.m
S_SphericallySymmetric.m
S_StochasticDominanceNormNorm...
S_StochasticDominanceNormT.m
S_StochasticDominanceUniBiMod...
S_StressCorrelation.m
S_StressCorrelation.m
S_StressCorrelation.m
S_StressCorrelation.m
S_StressLognormalMu.m
S_StressLognormalSigma.m
S_StressNormalMu.m
S_StressNormalSigma.m
S_StudentT.m
S_StudentT.m
S_SwaptionsInvariants.m
S_TCDF.m
S_TCopulaSimul.m
S_TotalRetsVsRelativeRets.m
S_UnevenSeries.m
S_Uniform.m
S_Uniform.m
S_UniformEllipsoid.m
S_UniformEllipsoid2.m
S_VaRContributions.m
S_VaRContributions_TdistrMark...
S_VaR_is_HomogNotConcave.m
S_Wishart.m
S_WishartCopulaSimul.m
ada_pcg.m
install_sedumi.m
View all files

from Risk and Asset Allocation by Attilio Meucci
Software for quantitative portfolio and risk management

ChoiceOptimal(Market,InvestorProfile)

function Allocation = ChoiceOptimal(Market,InvestorProfile)


Exp_Prices=diag(Market.CurrentPrices)*(1+Market.LinRets_EV);
Cov_Prices=diag(Market.CurrentPrices)*Market.LinRets_Cov*diag(Market.CurrentPrices);

S=inv(Cov_Prices);
A=Market.CurrentPrices'*S*Market.CurrentPrices; 
B=Market.CurrentPrices'*S*Exp_Prices; 

Gamma = (InvestorProfile.Budget - InvestorProfile.RiskPropensity*B)/A;
Allocation = InvestorProfile.RiskPropensity*S*Exp_Prices + Gamma*S*Market.CurrentPrices;

Highlights from Risk and Asset Allocation

Highlights from
Risk and Asset Allocation