DynAssMgmt.jl Documentation
This package implements a framework to set up and test dynamic asset management strategies.
Dynamic asset management types
Utilities
#
DynAssMgmt.loadTestData — Method.
loadTestData(dataName::String)Load one of the predefined test data.
fx / Fx:
Garch dataset from Ecdat R package.
Daily observations of exchange rate data from 1980–01 to 1987–05–21. Following exchange rates are part of it:
- dm: exchange rate Dollar/Deutsch Mark
- bp: exchange rate of Dollar/British Pound
- cd: exchange rate of Dollar/Canadian Dollar
- dy: exchange rate of Dollar/Yen
- sf: exchange rate of Dollar/Swiss Franc
Index
DynAssMgmt.DivFrontDynAssMgmt.DivFrontSigmaTargetDynAssMgmt.EWMADynAssMgmt.EffFrontDynAssMgmt.GMVPDynAssMgmt.InvestDynAssMgmt.MaxSharpeDynAssMgmt.PFDynAssMgmt.PerfStatsDynAssMgmt.PerformancesDynAssMgmt.PricesDynAssMgmt.RelativeTargetVolaDynAssMgmt.ReturnTypeDynAssMgmt.ReturnsDynAssMgmt.SinglePeriodSpectrumDynAssMgmt.SinglePeriodTargetDynAssMgmt.TargetMuDynAssMgmt.TargetVolaDynAssMgmt.UnivDynAssMgmt.UnivEstimatorDynAssMgmt.UnivEvolDynAssMgmt.aggregateReturnsDynAssMgmt.annualizeRiskReturnDynAssMgmt.applyDynAssMgmt.applyOverTimeDynAssMgmt.computeReturnsDynAssMgmt.evalPerfStatsDynAssMgmt.getDiscretePricesDynAssMgmt.getEwmaCovDynAssMgmt.getEwmaMeanDynAssMgmt.getEwmaStdDynAssMgmt.getInPercentagesDynAssMgmt.getLogPricesDynAssMgmt.getMuInPercentagesDynAssMgmt.getStdInPercentagesDynAssMgmt.getUnivEvolFromMatlabFormatDynAssMgmt.getUnivExtremaDynAssMgmt.gmvpDynAssMgmt.gmvp_levDynAssMgmt.loadTestDataDynAssMgmt.locfDynAssMgmt.locf!DynAssMgmt.nocbDynAssMgmt.nocb!DynAssMgmt.normalizePricesDynAssMgmt.pfDiversDynAssMgmt.pfMomentsDynAssMgmt.pfMuDynAssMgmt.pfVarianceDynAssMgmt.rets2pricesDynAssMgmt.standardize