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

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.