Object-Oriented Portfolio Construction and Analysis
The toolbox furnishes portfolio optimization tools, which modify developer to custom-make and pass the basis behavior for the portfolio type and asset allocation utilizing object-oriented programming. Two categories are rendered: an outline class for formulating new portfolio cases, and a mean-variance portfolio optimization class for conventional portfolio optimization troubles. The portfolio object bears the total work flow, from specifying the portfolio troubles to judging the effective subject, to adjusting up a commemorate of sales and purchase.
Determining the Portfolio Optimization issue
The portfolio optimization object renders a simplified interface for setting up and solving portfolio optimization issues that include descriptive metadata. Developer can specify a name of the portfolio , asset identifiers, total number of assets in an asset universe and also define an initial portfolio allotment. For mean-variance optimization, developer can determine asset return moments either by determining them as arrays or by estimating them from the return time series in a financial time series objects or matrix. Supported constraints comprises:
Linear equality
Linear inequality
Budget
Bound
Turnover
Group ratio
Group
Developer can also work with relative trade costs in the portfolio optimization issue definition, which enables both net and gross portfolio return optimization. Plot of efficient frontiers for an example portfolio optimization issue with and without proportional turnover (TO) constraints and transaction costs (TX).
Validating the Portfolio and Error Checking
The portfolio optimization object renders error checking throughout the portfolio construction phase. In some events, developer may wish to formalize the inputs to or turnouts from the portfolio optimization to abbreviate the time-taking error checking done prior to figuring out the optimization issue. Two methods are rendered for checking issue feasibility and estimating bounds
Efficient Frontiers and Efficient Portfolio
Depending on the goals, developer can identify efficient portfolios or efficient frontiers. The portfolio optimization object renders methods for both. Developer can solve for efficient portfolios by providing one or more objective risks or returns. Developer can also obtain optimal portfolios on the efficient frontier by specifying the number of portfolios to find, or solve for the optimal portfolios at the efficient frontier endpoints.
Post processing and Trade Reporting
When developer have placed a portfolio's risk and return, developer can apply the portfolio optimization target methods to troubleshoot answers that look doubtful, align the issue resolution to prompt for an effective portfolio, or align an asset trading record. The portfolio target supports the multiplication of a trade record as a data set array. Developer can declare the data set array to hold track of purchases and sales of assets and to fascinate trades to be satisfied.
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