PortfolioOptimisers.jl

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Processed covariance ​

PortfolioOptimisers.ProcessedCovariance Function
julia
ProcessedCovariance(;
    ce::StatsBase.CovarianceEstimator = Covariance(),
    alg::Option{<:AbstractMatrixProcessingAlgorithm} = nothing,
    pdm::Option{<:Posdef} = Posdef(),
) -> PortfolioOptimisersCovariance

ProcessedCovariance(
    ce::StatsBase.CovarianceEstimator,
    alg::Option{<:AbstractMatrixProcessingAlgorithm},
    pdm::Option{<:Posdef},
) -> PortfolioOptimisersCovariance

Convenience constructor. Returns a PortfolioOptimisersCovariance configured to apply positive definite projection then a custom matrix processing algorithm, in that order, via MatrixProcessing.

Examples

julia
julia> ProcessedCovariance()
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 ┼ nothing
     │     alg ┼ nothing
     │   order ┴ Tuple{Symbol, Symbol}: (:pdm, :alg)

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