Excess expected returns

PortfolioOptimisers.ExcessExpectedReturns — Type
struct ExcessExpectedReturns{T1, T2} <: AbstractShrunkExpectedReturnsEstimator
    me::T1
    rf::T2
end

Container type for excess expected returns estimators.

ExcessExpectedReturns encapsulates a mean estimator and a risk-free rate for computing excess expected returns. This enables modular workflows for estimating expected returns above a specified risk-free rate.

Fields

  • me: Mean estimator for expected returns.
  • rf: Risk-free rate to subtract from expected returns.

Constructor

ExcessExpectedReturns(; me::AbstractExpectedReturnsEstimator = SimpleExpectedReturns(),
                      rf::Real = 0.0)

Keyword arguments correspond to the fields above.

Examples

julia> ExcessExpectedReturns()
ExcessExpectedReturns
  me | SimpleExpectedReturns
     |   w | nothing
  rf | Float64: 0.0

Related

source
Statistics.mean — Method
mean(me::ExcessExpectedReturns, X::AbstractMatrix; dims::Int = 1, kwargs...)

Compute excess expected returns by subtracting the risk-free rate.

This method applies the mean estimator to the data and subtracts the risk-free rate from the resulting expected returns.

Arguments

  • me: Excess expected returns estimator.
  • X: Data matrix (observations × assets).
  • dims: Dimension along which to compute the mean.
  • kwargs...: Additional keyword arguments passed to the mean estimator.

Returns

  • mu::AbstractArray: Excess expected returns vector.

Related

source