PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
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 |
Asset Returns and Scenarios Using PortfolioMAD Object
Compute the expectation for MAD with samples from the probability distribution of asset returns.
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.
PortfolioMAD object workflow for creating and modeling a mean-absolute deviation (MAD) portfolio.