alloc_assets_stats | Expected returns and the covariance matrix by the chosen estimators, beside the plain sample figures: mean by sample, EWMA, James-Stein, Bayes-Stein or BOP shrinkage; covariance by sample, semi, EWMA, Ledoit-Wolf, OAS, shrunk, graphical lasso, j-LoGo, fixed/spectral/shrink denoising or Gerber 0/1/2. | |
alloc_comoments | Higher comoments of up to 12 assets: coskewness and cokurtosis matrices (sample, denoised, or probability-weighted), their downside (lower semi) versions and the semi covariance. | |
alloc_factor_model | Factor model of the assets on the given factors: loadings (alpha and betas) chosen by forward or backward stepwise regression on p-value, AIC, SIC, R² or adjusted R², or by principal components regression, or given. | |
alloc_matrix | Matrix utilities for covariance and correlation matrices: convert between covariance and correlation, repair a matrix that is not positive definite (eigenvalue clipping or nearest correlation), check positive definiteness with the eigenvalues, or generate return scenarios whose sample covariance is exactly the matrix. | |
alloc_denoise | Random-matrix denoising of the sample covariance: fits the Marchenko-Pastur law to the correlation eigenvalues, splits them into noise and signal (the number of factors), and rebuilds the covariance with the noise removed (fixed, spectral or shrink), optionally detoned. | |
alloc_uncertainty_sets | Box and elliptical uncertainty sets of the mean vector and covariance matrix: lower and upper bounds of each asset’s mean and volatility, the bounds of every covariance, the covariance of the mean estimate and the radii of the elliptical sets. | |
alloc_black_litterman | Black-Litterman posterior expected returns and covariance from absolute or relative views on assets or classes (BL), augmented with views on factors (ABL), or Bayesian on factor views (BLB). | |
alloc_entropy_pooling | Entropy pooling: the scenario probabilities closest (minimum relative entropy) to equal weights that satisfy the views on moments, and the posterior means, volatilities and correlations they imply. | |
