Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
|Creates PortfolioCVaR object for conditional value-at-risk 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 PortfolioCVaR Object
Given a sample of scenarios, the conditional expectation that defines the sample CVaR of the portfolio is expressed as a finite sum, a weighted average of losses.
- Working with a Riskless Asset
The PortfolioCVaR 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.
- Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with a
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
- PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) 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.