Portfolio analytics

Toolset pfopt_analytics: 1 tool.

Tool	What it does	Notes
`pfopt_portfolio_performance`	Evaluates given weights: expected annual return, volatility and Sharpe ratio, semideviation and Sortino ratio (with a history), each asset’s share of portfolio risk, and the value of every optimisation objective at these weights: variance, return, Sharpe, L2, quadratic utility, transaction cost against previous_weights, ex-ante tracking error against benchmark_weights and ex-post tracking error against the benchmark series.

Inputs, limits and outputs are described in Fincept Portfolio Optimizer. Full schemas: fincept_describe_tool.