Asset moments are concisely stored in special types.

Composite types

# DynAssMgmt.Univ — Type.

Univ(mus::Array{Float64, 1}, covs::Array{Float64, 2}, retType::ReturnType)

Universe type, built on Float64 arrays. The universe specifies discrete asset moments: mus and covs.

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# DynAssMgmt.UnivEvol — Type.

UnivEvol(manyUnivs::Array{Univ, 1}, manyDates::Array{Date, 1}, assetLabels::Array{String, 1})

Robust implementation of series of universes. In contrast to a simple array of Univs, a UnivEvol also contains metadata like dates and asset names.

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Fields of composite types

julia> using DynAssMgmt

julia> fieldnames(Univ)
3-element Array{Symbol,1}:
 :mus
 :covs
 :retType

julia> fieldnames(UnivEvol)
3-element Array{Symbol,1}:
 :universes
 :dates
 :assetLabels

Functions

# DynAssMgmt.getInPercentages — Function.

getInPercentages(thisUniv::Univ)

Transform values of universe into percentage scale if necessary.

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# DynAssMgmt.annualizeRiskReturn — Function.

annualizeRiskReturn(mu::Float64, sig::Float64, retType::ReturnType)

Convert risk and return values to annual scale.

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annualizeRiskReturn(mus::Array{Float64, 1}, sigs::Array{Float64, 1}, retType::ReturnType)

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# DynAssMgmt.getMuInPercentages — Function.

getMuInPercentages(thisMu::Float64, retType::ReturnType)

Transform value of expected return into percentage scale if necessary.

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# DynAssMgmt.getStdInPercentages — Function.

getStdInPercentages(thisStd::Float64, retType::ReturnType)

Transform value of standard deviation into percentage scale if necessary.

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# DynAssMgmt.getUnivExtrema — Function.

getUnivExtrema(thisUniv::Univ)

Get minimum and maximum values of mu and sigma for a given universe. Helpful to determine mu / sigma targets for investment strategies.

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# DynAssMgmt.getUnivEvolFromMatlabFormat — Function.

getUnivEvolFromMatlabFormat(muTab::DataFrame, covsTab::DataFrame)

Transform Matlab long format of estimated moments into UnivEvol type.

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