For given asset moments, there are several strategies to select an optimal portfolio.

Fields of composite types

julia> using DynAssMgmt

julia> fieldnames(GMVP)
0-element Array{Symbol,1}

julia> fieldnames(TargetVola)
1-element Array{Symbol,1}:
 :Vola

julia> fieldnames(RelativeTargetVola)
1-element Array{Symbol,1}:
 :Vola

julia> fieldnames(MaxSharpe)
1-element Array{Symbol,1}:
 :RiskFree

julia> fieldnames(TargetMu)
1-element Array{Symbol,1}:
 :Mu

julia> fieldnames(EffFront)
1-element Array{Symbol,1}:
 :NEffPfs

julia> fieldnames(DivFrontSigmaTarget)
2-element Array{Symbol,1}:
 :diversTarget
 :sigTarget

julia> fieldnames(DivFront)
2-element Array{Symbol,1}:
 :diversTarget
 :sigTargets

Single period strategies

Usage

apply(thisTarget::SinglePeriodTarget, univHistory::UnivEvol)

Abstract types

# DynAssMgmt.SinglePeriodTarget — Type.

SinglePeriodTarget

Abstract super type for single-period strategies.

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# DynAssMgmt.SinglePeriodSpectrum — Type.

SinglePeriodSpectrum

Abstract super type for multiple single-period strategies in the cross-section.

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Composite types

# DynAssMgmt.GMVP — Type.

GMVP()

Global minimum variance portfolio strategy.

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# DynAssMgmt.TargetVola — Type.

TargetVola(vol::Float64)

Target portfolio volatility strategy.

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# DynAssMgmt.RelativeTargetVola — Type.

RelativeTargetVola(vol::Float64)

Target portfolio volatility strategy, with volatility target given in relative terms. Target is relative with regards to maximum mu and gmvp.

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# DynAssMgmt.MaxSharpe — Type.

MaxSharpe()
MaxSharpe(rf::Float64)

Maximum Sharpe-ratio portfolio strategy. Optional input can be used to specify the risk-free rate.

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# DynAssMgmt.TargetMu — Type.

TargetMu(mu::Float64)

Target portfolio expectation strategy.

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# DynAssMgmt.EffFront — Type.

EffFront(npfs::Int64)

Efficient frontier portfolio spectrum. Single input determines the number of portfolios on the efficient frontier.

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# DynAssMgmt.DivFrontSigmaTarget — Type.

DivFrontSigmaTarget(divTarget::Float64, sigTarget::Float64)

Portfolio strategy with target diversification level and target volatility.

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# DynAssMgmt.DivFront — Type.

DivFront(divTarget::Float64, sigTarget::Array{Float64, 1})

Multiple portfolios with target diversification level and multiple volatility targets.

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Internal

# DynAssMgmt.gmvp — Method.

gmvp(thisUniv::Univ)

Get global minimum variance portfolio without short-selling. Leverage is not allowed.

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# DynAssMgmt.gmvp_lev — Method.

gmvp_lev(thisUniv::Univ)

Get global minimum variance portfolio without any constraints on short-selling. In other words: leverage is allowed.

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