Asset Returns and Scenarios

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

Objects

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

Functions

getScenariosObtain scenarios from portfolio object
setScenariosSet asset returns scenarios by direct matrix
estimateScenarioMomentsEstimate mean and covariance of asset return scenarios
simulateNormalScenariosByMomentsSimulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByDataSimulate multivariate normal asset return scenarios from data
setCostsSet up proportional transaction costs

Examples and How To

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 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

PortfolioMAD Object Workflow

PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.