| Estimation of returns, risk and views | alloc_estimation | Expected returns and covariance by 6 mean and 15 covariance estimators, coskewness and cokurtosis, Black-Litterman (plain, augmented, Bayesian) posteriors, factor models with stepwise or principal components loadings, entropy pooling, bootstrap uncertainty sets, random-matrix denoising and covariance/correlation matrix tools. | 8 |
| Hierarchical clustering and networks | alloc_hierarchical | Hierarchical portfolios (HRP, HERC, HERC2, NCO) over 12 codependence measures, 8 linkages (DBHT included) and 38 risk measures; the assets’ cluster tree, codependence and distance matrices, and their minimum spanning tree or planar filtered graph with centralities. | 4 |
| Portfolio optimisation | alloc_optimize | Mean-risk optimisation over 26 risk measures and four objectives on historical, Black-Litterman, factor-model and entropy-pooling inputs, with bounds, budgets, cardinality, risk limits, linear, integer, turnover, tracking-error and network constraints; efficient frontiers; worst-case robust, OWA and mean-variance-skewness-kurtosis portfolios; and the constraint and view matrix builders. | 6 |
| Risk parity and risk budgeting | alloc_parity | Portfolios whose assets (or classes, or factors) contribute risk in chosen proportions: equal risk contribution and risk budgeting for 22 risk measures, relaxed risk parity, factor risk parity and optimisation under factor risk-contribution limits; each answer shows the achieved risk contributions. | 3 |
| Portfolio risk analytics | alloc_risk | Risk of any portfolio or asset: 40 risk measures with return/risk ratios, the full risk report table, risk contributions per asset, class and factor, drawdown paths, the return distribution with its tail and range measures, portfolio comparisons, Brinson attribution and conversion of weights into shares. | 9 |
