Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
Objects
PortfolioCVaR |
Creates 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 for portfolio |
Examples and How To
- 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
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.
- Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with a
PortfolioCVaR
object.
Concepts
- 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.