Asset moments can be estimated according to a couple of ways.

Abstract types

# DynAssMgmt.UnivEstimator — Type.

UnivEstimator

Abstract super type for asset moment estimators.

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Estimators

# DynAssMgmt.EWMA — Type.

EWMA(muPersistence::Float64, covPersistence::Float64)

Exponential weighted moving average estimator of asset moments. muPersistence is the lambda value of the estimator of mean asset returns, and covPersistence is the lambda value for the covariance matrix.

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Fields of composite types

julia> using DynAssMgmt

julia> fieldnames(EWMA)
2-element Array{Symbol,1}:
 :muPersistence
 :covPersistence

Usage

# DynAssMgmt.apply — Method.

apply(thisEstimator::UnivEstimator, rets::Returns)

Apply some moment estimator to return data. In the background, apply needs to be defined for each possible estimator.

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# DynAssMgmt.applyOverTime — Function.

applyOverTime(thisEstimator::UnivEstimator, retsData::Returns, minObs::Int)

Successively apply given moment estimator to return data. minObs determines the minimum number of observations. This bascially defines the first subsample where the estimator will be applied.

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Functions

# DynAssMgmt.getEwmaMean — Function.

getEwmaMean(data::Array{Float64, 1}, persistenceVal::Float64)

EWMA estimator of expected value. persistenceVal defines how much weight historic observations get, and hence implicitly also defines the weight of the most recent observation.

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getEwmaMean(data::Array{Float64, 2}, persistenceVal::Float64)

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getEwmaMean(data::TimeArray, persistenceVal::Float64)

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getEwmaMean(data::Returns, persistenceVal::Float64)

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# DynAssMgmt.getEwmaStd — Function.

getEwmaStd(data::Array{Float64, 1}, persistenceVal::Float64)

EWMA estimator of standard deviation. persistenceVal defines how much weight historic observations get, and hence implicitly also defines the weight of the most recent observation.

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getEwmaStd(data::Array{Float64, 2}, persistenceVal::Float64)

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getEwmaStd(data::TimeArray, persistenceVal::Float64)

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getEwmaStd(data::Returns, persistenceVal::Float64)

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# DynAssMgmt.getEwmaCov — Function.

getEwmaCov(data::Array{Float64, 1}, persistenceVal::Float64)

EWMA estimator of covariance matrix. persistenceVal defines how much weight historic observations get, and hence implicitly also defines the weight of the most recent observation.

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getEwmaCov(data::TimeArray, persistenceVal::Float64)

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getEwmaCov(data::Returns, persistenceVal::Float64)

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