ResampledPortfolioOptimiser
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Function Description
Returns the mean-variance ‘resampled efficient’
portfolio, and its risk and return characteristics, for a given risk-reward
trade-off. The risks and returns are those derived on the basis of the original
(overall) ForecastReturns etc., from which the simulations are derived,
rather than the ones being assumed in any particular simulation to be the
correct values to use.
Additionally provides a range of percentile points for the
simulated distribution of each individual portfolio component, if CalculatePercentiles
is set to true, the percentiles are those passed to the function using the PercentilePoints
array.
Output is in the form of n different asset mixes,
then the sum of these asset mixes (which is usually constrained to equal 1),
then the return and risk of the portfolio mix, then for each percentile point a
value for each asset category derived from the simulated distribution of the
size of that particular asset exposure for that particular risk-reward
trade-off.
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Output type / Parameter details
Output type: Double()
| Parameter Name | Variable Type | Description |
| MinimumRiskPortfolio | Double() | Vector characterising the benchmark, i.e. minimum risk portfolio (n terms) |
| Lambda | Double | Risk aversion parameter |
| ForecastReturns | Double() | Vector of assumed returns from different assets (n terms) |
| ForecastRisks | Double() | Vector of assumed risks (volatilities) of different assets (n terms) |
| ForecastCorrelations | Double() | Array of assumed correlations between different assets (n x n terms) |
| LowerBounds | Double() | Vector containing the lower bounds on portfolio weights (n terms) |
| ConstraintMatrix | Double() | Array containing the constraint coefficients applicable to the problem (m x n terms) |
| ConstraintLimits | Double() | Vector containing the constraint limits applicable to the problem (m terms) |
| ConstraintTypes | Integer() | Vector containing constraint types (-ve is a less than constraint, 0 is an equals constraint and +ve is a greater than) (m terms) |
| NoSimulations | Integer | Number of simulations used in resampling |
| NoReturns | Integer | Number of return observations assumed to be providing original input parameters |
| CalculatePercentiles | Boolean | Flag indicating whether to calculate percentiles of simulated distribution of asset exposures |
| PercentilePoints | Double() | Percentile points used if CalculatePercentiles is TRUE |
| UsePrecomputedUniformRVs | Boolean | Flag indicating if use precomputed random variables in simulation |
| PrecomputedUniformRVs | Double() | Precomputed (uniform) random variables used if UsePrecomputedUniformRVs is TRUE |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Portfolio optimisation functions
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Computation units used
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