Custom value expected returns

PortfolioOptimisers.CustomValueExpectedReturns Type

struct CustomValueExpectedReturns{__T_val} <: AbstractExpectedReturnsEstimator

Expected returns estimator that returns custom values for each asset.

Fields

• val: Custom value.
  • If a scalar, all assets are assigned this value.

    • If a vector, each element corresponds to an asset.

    • If a function, it is called with the full X matrix and dims, with additional keyword arguments passed through.

Constructors

CustomValueExpectedReturns(;
    val::Func_Num_VecNum = 0.0
) -> CustomValueExpectedReturns

Keywords correspond to the struct's fields.

Examples

julia> CustomValueExpectedReturns()
CustomValueExpectedReturns
  val ┴ Float64: 0.0

Related

• AbstractExpectedReturnsEstimator

• PortfolioOptimisersCovariance

source

Statistics.mean Method

Statistics.mean(me::CustomValueExpectedReturns, X::MatNum;
                dims::Int = 1, kwargs...)

Compute expected returns as custom values.

Arguments

• me: Custom value expected returns estimator.

• X: Data matrix of asset returns (observations × assets).

• dims: Dimension along which to perform the computation.

• kwargs...: Additional keyword arguments.

Returns

• mu::Matrix{<:Number}: Expected returns matrix, shaped as (1, N) if dims == 1 or (N, 1) if dims == 2.

Related

• CustomValueExpectedReturns

source