Naive optimisation: private API
PortfolioOptimisers.NaiveOptimisationEstimator — Type
abstract type NaiveOptimisationEstimator <: NonFiniteAllocationOptimisationEstimatorAbstract supertype for naive (heuristic) portfolio optimisation estimators.
Naive optimisers compute portfolio weights directly from statistical properties of asset returns (e.g., volatility or equal weights) without solving an optimisation problem.
Related
PortfolioOptimisers.is_time_dependent — Method
is_time_dependent(opt::NaiveOptimisationEstimator) -> Any
Return true if the naive optimiser configuration carries time-dependent constraints.
Related
PortfolioOptimisers.reset_time_dependent_estimator — Method
reset_time_dependent_estimator(
opt::NaiveOptimisationEstimator
) -> Any
Replace time-dependent constraints with their static defaults, both on the naive optimiser's own fields and by recursing into the fallback.
PortfolioOptimisers.assert_internal_optimiser — Method
assert_internal_optimiser(_::NaiveOptimisationEstimator)
Assert internal validity for a naive optimisation estimator. No-op default.
Related
PortfolioOptimisers.assert_external_optimiser — Method
assert_external_optimiser(_::NaiveOptimisationEstimator)
Assert external validity for a naive optimisation estimator. No-op default.
Related
PortfolioOptimisers.naive_optimiser_td_defaults — Function
naive_optimiser_td_defaults(
) -> @NamedTuple{wb::WeightBounds{Float64, Float64}, wf::IterativeWeightFinaliser{Int64}}
Return the static defaults of the naive-optimiser fields that may hold a TimeDependent.
Shared by the constructors' test-substitution passes and time_dependent_field_defaults, so the fold-less value of a field is declared once. Fields whose static default is nothing are omitted; RandomWeighted overrides the trait because its wb default is nothing, and InverseVolatility extends it with its prior estimator.
Related
PortfolioOptimisers.assert_external_optimiser — Method
assert_external_optimiser(opt::InverseVolatility)
Assert that InverseVolatility is valid for external use.
Requires that opt.pe is not an AbstractPriorResult.
Related
PortfolioOptimisers.failed_hold_weights — Function
failed_hold_weights(X::Nothing)
failed_hold_weights(X::MatNum)The weights a PreviousWeights with nothing to hold answers: NaN at every asset of the carrier, or nothing when the carrier has no returns to take a width from.
Related