Abstract Models API

Constructors

SimpleMVO(assets::AssetsCollection{Real, AbstractString}, target_return::Real, constraints::Dict{Symbol, Expr}; short_sale::Bool=false)

When setting the Simple MVO, there are 4 fields to consider.

  1. Assets

The asset field indicates the matrix of asset returns and covariances to be inputted into the model.

  1. Target Return

The target return specifies the minimum expected return of the optimal portfolio.

  1. Constraints

The constraints define the set of constraints, outside of implied simple MVO constraints, to be applied during model optimization. If not defined, it is implied to have no constraints but the default of SimpleMVO.

  1. Short Sale flag

This is a boolean indicating whether or not short sale is allowed for the model. It simples defines whether or not weights for assets can drop below zero. If not defined, it is implied to be false.

RobustMVO(assets::AssetsCollection{Real, AbstractString}, target_return::Real, constraints::Dict{Symbol, Expr}, uncertaintySet, uncertaintySetSize, short_sale::Bool=false)

When setting the Robust MVO, there are 6 fields to consider.

  1. Assets

The asset field indicates the matrix of asset returns and covariances to be inputted into the model.

  1. Target Return

The target return specifies the minimum expected return of the optimal portfolio.

  1. Constraints

The constraints define the set of constraints, outside of implied simple MVO constraints, to be applied during model optimization.

  1. The Uncertainty Set

The uncertaintySet

  1. The Uncertainty Set Size

The uncertaintySetSize

  1. Short Sale flag

This is a boolean indicating whether or not short sale is allowed for the model. It simples defines whether or not weights for assets can drop below zero.

CVaRO(assets::AssetsCollection{Real, AbstractString}, losses::Matrix{Real}, constraints::Dict{Symbol, Expr}; alpha=.95::R, short_sale=false::Bool)
MinVarO(assets::AssetsCollection{Real, AbstractString}, constraints::Dict{Symbol, Expr}; short_sale=false::Bool))

Optimize Function

optimize(M, parameters::Dict{Symbol, Any}, solver=Default)

Optimizes the model M using the values in the dictionary of parameters using a solver , and returns a tuple of the objective value and an array of the weights. The solver is an optional Solver Object that can be passed in to define which solver to use while optimizing. The default is to let JuMP decide which solver to use.

Getters and Setters

getDefaultConstraints(M)

Return the default constraints of model M .

getConstraints(M)

Return an array of constraints as expressions for model M .

getObjective(M)

Return the objective function of model M as an Expr type.

getSense(M)

Return the Sense of the model M , Min or Max.

getVariables(M)

Return the list of variables in the model M .