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PortfolioOptimisers.jl
  • Portfolio optimisation library in Julia
  • Capability Catalogue
  • User Guide
    • Introduction to the user guide
    • Data and priors
    • Optimisers
    • Risk measures
    • Constraints and costs
    • Validation and tuning
    • Post-processing
    • Choosing a strategy
    • The point-in-time universe
    • The online walk-forward
  • Examples
    • Examples introduction
      • Getting started: a simple MeanRisk optimisation
      • Data preprocessing and the ingestion layer
      • Asset pre-selection
      • Expected returns estimation
      • Covariance estimation
      • Higher moment estimation
      • Factor priors
      • Black–Litterman
      • Advanced Black–Litterman variants
      • Entropy pooling
      • Opinion pooling
      • Uncertainty sets
      • Windowed moment estimators
      • ℓ1 uncertainty sets: the quintile and 1/N portfolios
      • MeanRisk objectives
      • Efficient frontier
      • Pareto surface
      • Multiple risk measures
      • OWA risk measures
      • Specialist risk measures: BrownianDistanceVariance and VarianceSkewKurtosis
      • Drawdown risk measures
      • Exotic tail risk measures: beyond CVaR
      • Risk budgeting
      • Risk contribution
      • Clustering optimisers
      • Clustering optimisers with mixed risks and constraints
      • Meta-optimisers
      • Subset resampling and cross-validation
      • Near optimal centering
      • Feature matrices as a distance source
      • Clustering on a fundamentals panel
      • Budget constraints
      • Linear and group constraints
      • Cardinality and threshold
      • Phylogeny and centrality constraints
      • Turnover and tracking
      • Fees and net returns
      • Regularisation
      • Nested clustered optimisation with layered constraints and fees
      • Custom objectives and constraints
      • Factor exposure constraints
      • Cross validation
      • Hyperparameter tuning
      • Pipelines
      • Time-dependent constraints
      • Train/test splitting
      • Time-dependent optimisers
      • Calibrated risk measures: a rule in place of a number
      • Weight drift and held weights: reading a backtest as a fund holds it
      • The online walk-forward: one estimator, stepped fold by fold
      • Finite allocation
      • Plotting and reporting
      • Performance attribution and post-optimisation diagnostics
      • Profile: retail, daily
      • Profile: desk, monthly
      • Profile: institutional
      • Profile: factor-views desk
      • Cross-sectional factor model, end to end
      • Cross-sectional factor model through a Pipeline
      • Reading a Return Forecast before an optimiser sees it
  • API introduction
  • Type hierarchy
  • Public API
      • Docstring dictionaries
      • Type roots
      • Pretty printing
      • Scoped configuration
      • Preferences
      • Messages
      • Error types
      • Type aliases
      • Observation weights
      • Assertions
      • Vector scalar
      • Norm error
      • Kappa logarithm
      • Partial fit
      • The online step
      • The coverage policy
    • Tools
      • The Asset Panel
      • Asset Panel builder
      • The Listing Span
      • Preprocessing
      • Carrier views
      • Prices result
      • Price ingestion
      • Price gap fill
      • Price filters
      • Returns result
      • Prices to returns
      • Train/test split
      • Base asset selection
      • Cross-sectional transforms
      • Feature selector
      • Panel data frame
      • Returns buffer state
      • Preprocessing partial fit
      • Positive definite matrix projection
      • Denoise
      • Detone
      • Matrix processing
      • Base moments
      • Simple expected returns
      • Simple covariance
      • Simple variance and standard deviation
        • Gerber covariance
        • Smyth-Broby Covariance
        • Gerber Information Quality Covariance
      • Distance Covariance
      • Lower Tail Dependence Covariance
      • Rank Covariances
      • Histogram
      • Mutual Information Covariance
      • Denoise covariance
      • Detone covariance
      • Processed covariance
      • PortfolioOptimisersCovariance
      • Shrunk Expected Returns
      • Equilibrium expected returns
      • Excess expected returns
      • Coskewness
      • Cokurtosis
      • Regression
        • Stepwise Regression
        • Dimensional Reduction Regression
      • Implied Volatility
      • Correlation covariance
      • Variance from covariance
      • Standard deviation expected returns
        • Windowed expected returns
        • Windowed covariance
        • Windowed variance
        • Windowed Coskewness
        • Windowed Cokurtosis
      • Median expected returns
      • Custom value expected returns
        • Exponentially Weighted Expected Returns
        • Exponentially Weighted Variance
        • Exponentially Weighted Covariance
        • Regime Adjusted Exponential Weighted Variance
        • Regime Adjusted Exponential Weighted Covariance
      • Higher-Moment Partial Fit
        • Cross-Sectional Regression
        • Cross-Sectional Weights
        • Cross-Sectional Factor Model
          • Descriptor Base
          • Panel Field Descriptors
          • Lag Descriptors
          • Exponentially Weighted Mean Descriptors
          • Exponentially Weighted Volatility Descriptors
          • Exponentially Weighted Beta Descriptors
          • Rolling Descriptors
          • Exposure Base
          • Composite Exposure
          • Derived Exposure
          • One-Hot Exposure
          • Constant Exposure
          • Exposure Neutralisation
        • Factor Family Basis
        • Factor Family Basis Transforms
          • Return Forecast Base
          • Descriptor Scores
          • Custom Value Return Forecast
          • Fixed Weighted Return Forecast
          • Exponentially Weighted Return Forecast
          • Target Return Forecast
          • Forecast Evaluation
          • Forecast History
          • Forecast Information Coefficient
          • Forecast Portfolios
          • Forecast Factor Correlation
          • Forecast Forward Windows
          • Forecast Calibration
          • Forecast Summary
        • Cross-Sectional Regression Diagnostics
        • Cross-Sectional Exposure Diagnostics
        • Factor Model Summary
        • Cross-Sectional Idiosyncratic Diagnostics
      • The Coverage Universe
      • Base Distance
      • Distance
      • Distances of Distances
      • Similarity Matrices
      • Feature Distance
    • JuMP model optimisation
      • Base Phylogeny
      • Clusters
      • Hierarchical
      • Non hierarchical clustering
      • Phylogeny
        • Direct Bubble Hierarchy Tree
        • Planar Maximally Filtered Graph
        • Graph Traversal
        • Clique Hierarchy
        • Bubble Tree
        • DBHT Dendrogram
        • DBHT Clustering
      • LoGo
        • Minimum Spanning Tree
        • Network Estimator
        • Network Graph
        • Separation
        • Centrality
        • Centrality Polarity
        • Centrality Estimator
        • Centrality Queries
      • Phylogeny Clustering
      • Phylogeny Matrix
      • Asset Phylogeny
      • Base Constraint Generation
      • Linear Constraints
      • Risk budget estimators
      • Phylogeny Constraints
      • Weight bounds constraints
      • Asset sets matrix
      • Threshold Constraints
      • Exposure Constraints
      • Cross-Sectional Factor Axis
      • 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
        • Meucci Entropy Pooling
        • Entropy Pooling
      • Opinion Pooling
      • High Order Factor Prior
      • Asset Panel Estimators
      • Cross-Sectional Factor Prior internals
      • Cross-Sectional Factor Prior
      • The prior family on the partial-fit seam
      • Base Uncertainty Sets
      • Delta Uncertainty Sets
      • Normal Uncertainty Sets
      • Bootstrap Uncertainty Sets
      • ℓ1 Uncertainty Sets
      • Calibration Rules
      • Compact Uncertainty Sets
      • Norm-Ball Uncertainty Sets
      • Orthogonal Uncertainty Sets
      • Compact Radius Rules
    • Asset turnover
    • Portfolio and asset fees
    • Net returns and drawdowns
    • Tracking
      • Base Risk Measures
      • Variance
      • Moment Risk Measures
      • Kurtosis
      • Negative Skewness
        • X at Risk
        • Conditional X at Risk
        • Entropic X at Risk
        • Relativistic X at Risk
        • Power Norm X at Risk
      • Ordered Weights Array
      • Average Drawdown
      • Ulcer Index
      • Maximum Drawdown
      • Brownian Distance Variance
      • Worst Realisation
      • No Risk
      • Range
      • Turnover risk measure
      • Tracking risk measure
      • Variance Skew Kurtosis
      • Generic Value at Risk Range
      • Ratio Risk Measure
      • Equal Risk Measure
      • Median Absolute Deviation Risk
      • Non-Optimisation Risk Measures
      • Adjust Risk Contributions
      • Expected Risk
      • Risk Measure Tools
      • Base optimisation
        • Base Cross Validation
        • KFold
        • Combinatorial
        • WalkForward
        • Multiple Randomised Cross Validation
        • Validation
        • Scoring
        • Optimisation Cross Validation
        • Base search cross validation
        • Grid search cross validation
        • Randomised search cross validation
        • The online arm of the fold loop
        • The covariance forecast evaluation
        • The summary, comparison and re-projection of a covariance forecast evaluation
        • A Result resumes an online run
      • Naive optimisation
        • Base clustering optimisation
        • Hierarchical Risk Parity
        • Schur Complement Hierarchical Risk Parity
        • Hierarchical Equal Risk Contribution
        • Base JuMP Optimisation
          • MIP Constraints
          • Returns and Objective Functions
          • Budget Constraints
          • Weight Constraints
          • SDP Constraints
          • Integer Phylogeny Constraints
          • Cardinality Constraints
          • Threshold Constraints
          • Turnover Constraints
          • Fees Constraints
          • Tracking Error Constraints
          • Regularisation Constraints
          • Weight norm constraints
        • JuMP Optimiser
        • Mean Risk
        • Factor risk contribution
        • Near optimal centering
        • Risk budgeting
        • Relaxed risk budgeting
          • Base Risk Constraints
          • Variance Constraints
          • Moment Risk Constraints
          • Kurtosis Constraints
          • Negative Skewness Constraints
            • XatRisk Constraints
            • Conditional XatRisk Constraints
            • Entropic XatRisk Constraints
            • Relativistic XatRisk Constraints
            • Power-Norm XatRisk Constraints
          • OWA Risk Measure Constraints
          • Average Drawdown Constraints
          • Ulcer Index Constraints
          • Maximum Drawdown Constraints
          • Brownian Distance Variance Constraints
          • Worst Realisation Constraints
          • No Risk Constraints
          • Range Constraints
          • Turnover Risk Measure Constraints
          • Tracking Risk Measure Constraints
          • Variance Skew Kurtosis Constraints
          • Generic Value at Risk Range Constraints
        • Meta optimisation
        • Nested Clustered
        • Stacking
        • Subset resampling
        • Base finite allocation
        • Discrete allocation
        • Greedy allocation
      • Risk-measure ↔ optimiser compatibility
      • The optimiser on the partial-fit seam
    • Expected Returns
      • Factor attribution
      • Realised factor attribution
    • Asset selection
      • Base Pipeline
      • Step execution
      • PortfolioOptimisers pipeline
      • Pipeline cross-validation
      • Search cross-validation
      • The Pipeline's online step
    • Plotting
    • Aliases
  • Private API
      • Docstring dictionaries: private API
      • Type roots: private API
      • Pretty printing: private API
      • Scoped configuration: private API
      • Preferences: private API
      • Messages: private API
      • Error types: private API
      • Type aliases: private API
      • Observation weights: private API
      • Assertions: private API
      • Vector scalar: private API
      • Norm error: private API
      • Kappa logarithm: private API
      • Partial fit: private API
      • The online step: private API
      • The coverage policy: private API
    • Tools: private API
      • The Asset Panel: private API
      • Asset Panel builder: private API
      • The Listing Span: private API
      • Preprocessing: private API
      • Carrier views: private API
      • Prices result: private API
      • Price ingestion: private API
      • Price gap fill: private API
      • Price filters: private API
      • Returns result: private API
      • Prices to returns: private API
      • Train/test split: private API
      • Base asset selection: private API
      • Cross-sectional transforms: private API
      • Feature selector: private API
      • Panel data frame: private API
      • Returns buffer state: private API
      • Preprocessing partial fit: private API
      • Positive definite matrix projection: private API
      • Denoise: private API
      • Detone: private API
      • Matrix processing: private API
      • Base moments: private API
      • Simple expected returns: private API
      • Simple covariance: private API
      • Simple variance and standard deviation: private API
        • Gerber covariance: private API
        • Smyth-Broby Covariance: private API
        • Gerber Information Quality Covariance: private API
      • Distance Covariance: private API
      • Lower Tail Dependence Covariance: private API
      • Rank Covariances: private API
      • Histogram: private API
      • Mutual Information Covariance: private API
      • Denoise covariance: private API
      • Detone covariance: private API
      • Processed covariance: private API
      • PortfolioOptimisersCovariance: private API
      • Shrunk Expected Returns: private API
      • Equilibrium expected returns: private API
      • Excess expected returns: private API
      • Coskewness: private API
      • Cokurtosis: private API
      • Regression: private API
        • Stepwise Regression: private API
        • Dimensional Reduction Regression: private API
      • Implied Volatility: private API
      • Correlation covariance: private API
      • Variance from covariance: private API
      • Standard deviation expected returns: private API
        • Windowed expected returns: private API
        • Windowed covariance: private API
        • Windowed variance: private API
        • Windowed Coskewness: private API
        • Windowed Cokurtosis: private API
      • Median expected returns: private API
      • Custom value expected returns: private API
        • Exponentially Weighted Expected Returns: private API
        • Exponentially Weighted Variance: private API
        • Exponentially Weighted Covariance: private API
        • Regime Adjusted Exponential Weighted Variance: private API
        • Regime Adjusted Exponential Weighted Covariance: private API
      • Higher-Moment Partial Fit: private API
        • Cross-Sectional Regression: private API
        • Cross-Sectional Weights: private API
        • Cross-Sectional Factor Model: private API
          • Descriptor Base: private API
          • Panel Field Descriptors: private API
          • Lag Descriptors: private API
          • Exponentially Weighted Mean Descriptors: private API
          • Exponentially Weighted Volatility Descriptors: private API
          • Exponentially Weighted Beta Descriptors: private API
          • Rolling Descriptors: private API
          • Exposure Base: private API
          • Composite Exposure: private API
          • Derived Exposure: private API
          • One-Hot Exposure: private API
          • Constant Exposure: private API
          • Exposure Neutralisation: private API
        • Factor Family Basis: private API
        • Factor Family Basis Transforms: private API
          • Return Forecast Base: private API
          • Descriptor Scores: private API
          • Custom Value Return Forecast: private API
          • Fixed Weighted Return Forecast: private API
          • Exponentially Weighted Return Forecast: private API
          • Target Return Forecast: private API
          • Forecast Evaluation: private API
          • Forecast History: private API
          • Forecast Information Coefficient: private API
          • Forecast Portfolios: private API
          • Forecast Factor Correlation: private API
          • Forecast Forward Windows: private API
          • Forecast Calibration: private API
          • Forecast Summary: private API
        • Cross-Sectional Regression Diagnostics: private API
        • Cross-Sectional Exposure Diagnostics: private API
        • Factor Model Summary: private API
        • Cross-Sectional Idiosyncratic Diagnostics: private API
      • The Coverage Universe: private API
      • Base Distance: private API
      • Distance: private API
      • Distances of Distances: private API
      • Similarity Matrices: private API
      • Feature Distance: private API
    • JuMP model optimisation: private API
      • Base Phylogeny: private API
      • Clusters: private API
      • Hierarchical: private API
      • Non hierarchical clustering: private API
      • Phylogeny: private API
        • Direct Bubble Hierarchy Tree: private API
        • Planar Maximally Filtered Graph: private API
        • Graph Traversal: private API
        • Clique Hierarchy: private API
        • Bubble Tree: private API
        • DBHT Dendrogram: private API
        • DBHT Clustering: private API
      • LoGo: private API
        • Minimum Spanning Tree: private API
        • Network Estimator: private API
        • Network Graph: private API
        • Separation: private API
        • Centrality: private API
        • Centrality Polarity: private API
        • Centrality Estimator: private API
        • Centrality Queries: private API
      • Phylogeny Clustering: private API
      • Phylogeny Matrix: private API
      • Asset Phylogeny: private API
      • Base Constraint Generation: private API
      • Linear Constraints: private API
      • Risk budget estimators: private API
      • Phylogeny Constraints: private API
      • Weight bounds constraints: private API
      • Asset sets matrix: private API
      • Threshold Constraints: private API
      • Exposure Constraints: private API
      • Cross-Sectional Factor Axis: private API
      • Base Prior: private API
      • Empirical Prior: private API
      • Factor Prior: private API
      • High Order Prior: private API
        • Black-Litterman Views Generation: private API
        • Black-Litterman Prior: private API
        • Bayesian Black-Litterman Prior: private API
        • Factor Black-Litterman Prior: private API
        • Augmented Black-Litterman Prior: private API
        • Entropy Pooling: private API
        • Meucci Entropy Pooling: private API
        • Entropy Pooling: private API
      • Opinion Pooling: private API
      • High Order Factor Prior: private API
      • Asset Panel Estimators: private API
      • Cross-Sectional Factor Prior internals: private API
      • Cross-Sectional Factor Prior: private API
      • The prior family on the partial-fit seam: private API
      • Base Uncertainty Sets: private API
      • Delta Uncertainty Sets: private API
      • Normal Uncertainty Sets: private API
      • Bootstrap Uncertainty Sets: private API
      • ℓ1 Uncertainty Sets: private API
      • Calibration Rules: private API
      • Compact Uncertainty Sets: private API
      • Norm-Ball Uncertainty Sets: private API
      • Orthogonal Uncertainty Sets: private API
      • Compact Radius Rules: private API
    • Asset turnover: private API
    • Portfolio and asset fees: private API
    • Net returns and drawdowns: private API
    • Tracking: private API
      • Base Risk Measures: private API
      • Variance: private API
      • Moment Risk Measures: private API
      • Kurtosis: private API
      • Negative Skewness: private API
        • X at Risk: private API
        • Conditional X at Risk: private API
        • Entropic X at Risk: private API
        • Relativistic X at Risk: private API
        • Power Norm X at Risk: private API
      • Ordered Weights Array: private API
      • Average Drawdown: private API
      • Ulcer Index: private API
      • Maximum Drawdown: private API
      • Brownian Distance Variance: private API
      • Worst Realisation: private API
      • No Risk: private API
      • Range: private API
      • Turnover risk measure: private API
      • Tracking risk measure: private API
      • Variance Skew Kurtosis: private API
      • Generic Value at Risk Range: private API
      • Ratio Risk Measure: private API
      • Equal Risk Measure: private API
      • Median Absolute Deviation Risk: private API
      • Non-Optimisation Risk Measures: private API
      • Adjust Risk Contributions: private API
      • Expected Risk: private API
      • Risk Measure Tools: private API
      • Base optimisation: private API
        • Base Cross Validation: private API
        • KFold: private API
        • Combinatorial: private API
        • WalkForward: private API
        • Multiple Randomised Cross Validation: private API
        • Validation: private API
        • Scoring: private API
        • Optimisation Cross Validation: private API
        • Base search cross validation: private API
        • Grid search cross validation: private API
        • Randomised search cross validation: private API
        • The online arm of the fold loop: private API
        • The covariance forecast evaluation: private API
        • The summary, comparison and re-projection of a covariance forecast evaluation: private API
        • A Result resumes an online run: private API
      • Naive optimisation: private API
        • Base clustering optimisation: private API
        • Hierarchical Risk Parity: private API
        • Schur Complement Hierarchical Risk Parity: private API
        • Hierarchical Equal Risk Contribution: private API
        • Base JuMP Optimisation: private API
          • MIP Constraints: private API
          • Returns and Objective Functions: private API
          • Budget Constraints: private API
          • Weight Constraints: private API
          • SDP Constraints: private API
          • Integer Phylogeny Constraints: private API
          • Cardinality Constraints: private API
          • Threshold Constraints: private API
          • Turnover Constraints: private API
          • Fees Constraints: private API
          • Tracking Error Constraints: private API
          • Regularisation Constraints: private API
          • Weight norm constraints: private API
        • JuMP Optimiser: private API
        • Mean Risk: private API
        • Factor risk contribution: private API
        • Near optimal centering: private API
        • Risk budgeting: private API
        • Relaxed risk budgeting: private API
          • Base Risk Constraints: private API
          • Variance Constraints: private API
          • Moment Risk Constraints: private API
          • Kurtosis Constraints: private API
          • Negative Skewness Constraints: private API
            • XatRisk Constraints: private API
            • Conditional XatRisk Constraints: private API
            • Entropic XatRisk Constraints: private API
            • Relativistic XatRisk Constraints: private API
            • Power-Norm XatRisk Constraints: private API
          • OWA Risk Measure Constraints: private API
          • Average Drawdown Constraints: private API
          • Ulcer Index Constraints: private API
          • Maximum Drawdown Constraints: private API
          • Brownian Distance Variance Constraints: private API
          • Worst Realisation Constraints: private API
          • No Risk Constraints: private API
          • Range Constraints: private API
          • Turnover Risk Measure Constraints: private API
          • Tracking Risk Measure Constraints: private API
          • Variance Skew Kurtosis Constraints: private API
          • Generic Value at Risk Range Constraints: private API
        • Meta optimisation: private API
        • Nested Clustered: private API
        • Stacking: private API
        • Subset resampling: private API
        • Base finite allocation: private API
        • Discrete allocation: private API
        • Greedy allocation: private API
      • Risk-measure ↔ optimiser compatibility: private API
      • The optimiser on the partial-fit seam: private API
    • Expected Returns: private API
      • Factor attribution: private API
      • Realised factor attribution: private API
    • Asset selection: private API
      • Base Pipeline: private API
      • Step execution: private API
      • PortfolioOptimisers pipeline: private API
      • Pipeline cross-validation: private API
      • Search cross-validation: private API
      • The Pipeline's online step: private API
    • Plotting: private API
    • Aliases: private API
  • Contribute
    • Design philosophy and goals
    • Contributing guidelines
    • Developer documentation
    • Code health: the maintenance loop
  • Migration guide
  • References
Version
  • Public API
  • Optimisation
  • Cross Validation
  • The online arm of the fold loop
  • The online arm of the fold loop
GitHub

The online arm of the fold loop

The online arm of the fold loop has no public API in PortfolioOptimisers.jl; see The online arm of the fold loop: private API for its private API.

« Randomised search cross validationThe covariance forecast evaluation »

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