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.