Weekly maintenance every saturday 03:00 - 06:00 UTC
- Mean historical return.
- Exponentially weighted mean historical return.
- CAPM estimate of returns.
- Fix non-positive semidefinite matrices.
- Sample covariance.
- Semicovariance.
- Exponentially weighted covariance.
- Shrunk covariance matrices:
- manual shrinkage
- Ledoit Wolf shrinkage
- Oracle Approximating shrinkage
- minimum of volatility
- maximum of Sharpe ratio
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk
- minimum of risk for a given target return
- minimum of semivariance
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk
- minimum of CVaR or CDaR
- maximum of return for a given CVaR or CDaR
- minimum of CVaR or CDaR for a given target return
- Ensure that Upload the stock data from my computer (use intrinsic stock data source if unchecked) checkbox is unchecked.
- Ensure that Use close prices for statistics calculation (use the adjusted close prices if unchecked) checkbox is checked. You can leave this checkbox checked if you like, but in this case you will use the adjusted close prices instead of close prices.
- Click button Choose File right under caption Choose stock universe file.
- Choose the tickers.csv file from the uploaded earlier universe_data folder.
- Ensure that value of Choose type of calculation of mean returns and covariance matrix control value set to Independent.
- Ensure that value of Choose type of mean historical return calculation control set to Mean historical return.
- Ensure that value of Choose type of covariance matrix calculation control set to Sample covariance.
- Ensure that value of Choose optimization method control set to Mean - variance optimization.
- Ensure that value of Choose optimization type for Mean - variance optimization control set to Minimize volatility.
- Click the button Optimize at the bottom of the page.
- After you see the message Now you can take a look at your optimization result at the log window, check if there were warnings.
- Click the Optimization result... button to view you optimization results. Note that you can sort or search your optimization result tables. To search table enter your search sequence in the Search field, to sort the table by column values mouse-click the corresponding column header. Click the button Export report to XLSX to export the page data to XLSX file.
- adj_clos.csv is a csv file with historical prices for stocks.
- close.csv is a csv file with close prices for stocks for previous day.
- index_prices.csv is a csv file with index prices for some index used for Black - Litterman
model calculation.
- viewdict.csv is a csv file with expected return views data for Black - Litterman model calculations.
- confidences.csv is a csv file with view confidences data for Idzorek model calculations.
- mcaps.csv is a csv file with market caps data for Black - Litterman model calculations.
- sector.csv is a csv file with sector data for stocks.
- data_info.csv is a json file with version data and index symbol.
- tickers.csv is a csv file which contains a list of tickers to use in the portfolio optimization.
- viewdict.csv and confidences.csv files have the same meaning and format as the ones for
all_stock_data folder.
All the files, except the data_info.csv file, can be edited either with some XLSX editor (for example with the LibreOffice Calc) or with a text editor. The data_info.csv file can be edited with a text editor.
If you have a questions or bug reports, feel free to contact me either with contact email or redirecting by the link "Ask a question", which is located on the left sidebar (but you should register on github for this).