Asset Returns and Scenarios
|Create PortfolioMAD object for mean-absolute deviation 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|
Examples and How To
Compute the expectation for MAD with samples from the probability distribution of asset returns.
The PortfolioMAD object has a separate
that stores the rate of return of a riskless asset.
The difference between net and gross portfolio returns is transaction costs.
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.