/

The Nematrian Function Library

Portfolio Optimisation Functions

[this page | pdf | references | back links]

The Nematrian function library includes a range of tools that are useful for portfolio optimisation.

 

The web functions available include ones set out in the table below. To see a complete list of functions currently available in the Nematrian online toolkit please go to list of types of available functions or complete list of individual functions.

 


NAVIGATION LINKS
Contents | Prev | Next


Web functionShort description of function
MnConstrainedQuadraticOptimiserReturns a vector characterising the minimum value a given quadratic loss function
MnConstrainedQuadraticPortfolioOptimiserReturns a vector characterising the portfolio weights of a mean-variance optimal portfolio
MnResampledPortfolioOptimiserReturns a vector characterising the portfolio weights of a 'resampled' mean-variance optimal portfolio
MnReverseQuadraticPortfolioOptimiserReturns an array of implied alphas, i.e. return assumptions needed for portfolio to be optimal

Desktop view | Switch to Mobile