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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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