PortfolioOptimisers.jl

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Detone covariance ​

PortfolioOptimisers.DetoneCovariance Function
julia
DetoneCovariance(;
    ce::StatsBase.CovarianceEstimator = Covariance(),
    dt::Detone = Detone(),
    pdm::Option{<:Posdef} = Posdef(),
) -> PortfolioOptimisersCovariance

DetoneCovariance(
    ce::StatsBase.CovarianceEstimator,
    dt::Detone,
    pdm::Option{<:Posdef},
) -> PortfolioOptimisersCovariance

Convenience constructor. Returns a PortfolioOptimisersCovariance configured to apply positive definite projection then detoning, in that order, via MatrixProcessing.

Examples

julia
julia> DetoneCovariance()
PortfolioOptimisersCovariance
  ce ┼ Covariance
     │    me ┼ SimpleExpectedReturns
     │       │   w ┴ nothing
     │    ce ┼ GeneralCovariance
     │       │   ce ┼ StatsBase.SimpleCovariance: StatsBase.SimpleCovariance(true)
     │       │    w ┴ nothing
     │   alg ┴ FullMoment()
  mp ┼ MatrixProcessing
     │     pdm ┼ Posdef
     │         │      alg ┼ UnionAll: NearestCorrelationMatrix.Newton
     │         │   kwargs ┴ @NamedTuple{}: NamedTuple()
     │      dn ┼ nothing
     │      dt ┼ Detone
     │         │   pdm ┼ Posdef
     │         │       │      alg ┼ UnionAll: NearestCorrelationMatrix.Newton
     │         │       │   kwargs ┴ @NamedTuple{}: NamedTuple()
     │         │     n ┴ Int64: 1
     │     alg ┼ nothing
     │   order ┴ Tuple{Symbol, Symbol}: (:pdm, :dt)

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