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PortfolioOptimisers.jl

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Example 1: Simple MeanRisk optimisation

Example 2: MeanRisk objectives

Example 3: Efficient frontier

Example 4: Pareto surface

Example 5: Budget constraints

JuMP Model Optimisation

Ordered Weights Array

Moments

Variance and Standard Deviation

Gerber Covariance

Smyth-Broby Covariance

Distance Covariance

Lower Tail Dependence Covariance

Rank Covariances

Histogram

Mutual Information Covariance

PortfolioOptimisersCovariance

Shrunk Expected Returns

Equilibrium expected returns

Excess expected returns

Dimensional Reduction Regression

Implied Volatility

Distance

Base Distance

Distance

Distances of Distances

Phylogeny

Base Phylogeny

Clustering

Hierarchical

Direct Bubble Hierarchy Tree

Phylogeny

Constraint Generation

Base Constraint Generation

Linear Constraints

Phylogeny Constraints

Weight Bounds Constraints

Buy-in Threshold Constraints

Prior

Black-Litterman Views Generation

Black-Litterman Prior

Bayesian Black-Litterman Prior

Factor Black-Litterman Prior

Augmented Black-Litterman Prior

Entropy Pooling

Opinion Pooling

Uncertainty Sets

Base Uncertainty Sets

Delta Uncertainty Sets

Normal Uncertainty Sets

Bootstrap Uncertainty Sets

Risk Measures

Conditional X at Risk

Entropic X at Risk

api/19_RiskMeasures/09_RelativisticXatRisk

Expected Risk

Optimisation

Base JuMP Optimisation

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Contributing guidelines

Developer documentation

References

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Examples

Example 1: Simple MeanRisk optimisation

Example 2: MeanRisk objectives

Example 3: Efficient frontier

Example 4: Pareto surface

Example 5: Budget constraints

API

Introduction

Base

Tools

Preprocessing

PosdefMatrix

Denoise

Detone

Matrix Processing

JuMP Model Optimisation

Ordered Weights Array

Turnover

Fees

Tracking

Expected Returns

Plotting

Interfaces

Moments

Base Moments

Mean

Covariance

Variance and Standard Deviation

Gerber Covariance

Smyth-Broby Covariance

Distance Covariance

Lower Tail Dependence Covariance

Rank Covariances

Histogram

Mutual Information Covariance

PortfolioOptimisersCovariance

Shrunk Expected Returns

Equilibrium expected returns

Excess expected returns

Coskewness

Cokurtosis

Regression

Stepwise Regression

Dimensional Reduction Regression

Implied Volatility

Distance

Base Distance

Distance

Distances of Distances

Phylogeny

Base Phylogeny

Clustering

Hierarchical

Direct Bubble Hierarchy Tree

Phylogeny

Constraint Generation

Base Constraint Generation

Linear Constraints

Phylogeny Constraints

Weight Bounds Constraints

Buy-in Threshold Constraints

Prior

Base Prior

Empirical Prior

Factor Prior

High Order Prior

Black-Litterman Views Generation

Black-Litterman Prior

Bayesian Black-Litterman Prior

Factor Black-Litterman Prior

Augmented Black-Litterman Prior

Entropy Pooling

Opinion Pooling

Uncertainty Sets

Base Uncertainty Sets

Delta Uncertainty Sets

Normal Uncertainty Sets

Bootstrap Uncertainty Sets

Risk Measures

Base Risk Measures

Variance

Moment Risk Measures

Kurtosis

Negative Skewness

X at Risk

Conditional X at Risk

Entropic X at Risk

api/19_RiskMeasures/09_RelativisticXatRisk

Expected Risk

Optimisation

Base JuMP Optimisation

Nested Clustered

Constraints

Returns and Objective Functions

Risk Constraints

Variance Constraints

Moment Risk Constraints

Contribute

Contributing guidelines

Developer documentation

References

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