投资组合优化和资产配置 -凯发k8网页登录

follow a sequence of examples that highlight features of the portfolio object. specifically, the examples use the portfolio object to show how to set up mean-variance portfolio optimization problems that focus on the two-fund theorem, the impact of transaction costs and turnover constraints, how to obtain portfolios that maximize the sharpe ratio, and how to set up two popular hedge-fund strategies — dollar-neutral and 130-30 portfolios.

perform backtesting of portfolio strategies using a backtesting framework. backtesting is a useful tool to compare how investment strategies perform over historical or simulated market data. this example develops five different investment strategies and then compares their performance after running over a one-year period of historical stock data. the backtesting framework is implemented in two financial toolbox™ classes: backteststrategy and backtestengine.

include qualitative factors for environmental, social, and corporate governance (esg) in the portfolio selection process. the example extends the traditional mean-variance portfolio using a portfolio object to include the esg metric. first, the estimatefrontier function computes the mean-variance efficient frontier for different esg levels. then, the example illustrates how to combine the esg performance measure with portfolio diversification techniques. specifically, it introduces hybrid models that use the herfindahl-hirshman (hh) index and the most diversified portfolio (mdp) approach using the estimatecustomobjectiveportfolio function. finally, the backtestengine framework compares the returns and behavior of the different esg strategies.

compute a hierarchical risk parity (hrp) portfolio. you can use hrp as a technique for portfolio diversification where the assets are divided and weighted according to a hierarchical tree structure. the weights of the assets within a cluster and between clusters can be assigned in many ways. a few ideas of the ways to allocate the weights are:

include qualitative factors for environmental, social, and corporate governance (esg) in the portfolio selection process. the example extends the traditional mean-variance portfolio using a portfolio object to include the esg metric. first, the estimatefrontier function computes the mean-variance efficient frontier for different esg levels. then, the example illustrates how to combine the esg performance measure with portfolio diversification techniques. specifically, it introduces hybrid models that use the herfindahl-hirshman (hh) index and the most diversified portfolio (mdp) approach using the estimatecustomobjectiveportfolio function. finally, the backtestengine framework compares the returns and behavior of the different esg strategies.