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Detone covariance

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

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

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

detone! in src/04_MatrixProcessing/03_Detone.jl states the mathematics of the detoning step, and posdef! in src/04_MatrixProcessing/01_PosdefMatrix.jl that of the projection.

Algorithm

  1. Build a MatrixProcessing from pdm and dt, with order = (:pdm, :dt).
  2. Return a PortfolioOptimisersCovariance carrying ce and that estimator.

order is what fixes the composition: Statistics.cov runs ce first, then projects the matrix onto the positive definite cone, and detones last. A caller who needs the reverse order builds the MatrixProcessing itself.

Arguments

  • ce: Covariance estimator.
  • dt: Matrix detoning estimator.
  • pdm: Optional positive definite matrix estimator.

Returns

  • ce::PortfolioOptimisersCovariance: Composite estimator that detones the matrix ce computes.

Examples

julia> DetoneCovariance()PortfolioOptimisersCovariance  ce ┼ Covariance     │    me ┼ SimpleExpectedReturns     │       │   w ┴ nothing     │    ce ┼ GeneralCovariance     │       │   ce ┼ StatsBase.SimpleCovariance: StatsBase.SimpleCovariance(true)     │       │    w ┴ nothing     │   alg ┼ FullMoment()     │     w ┴ nothing  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)

Related

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