Man pages for jeanmarcgp/ResilientPortfolio
Resilient Portfolio Management System

extract_SDweightsExtract the SD weights of a statfolio for further processing
extractWeights.optimize.portfolio.rebalancingNEW function to deal with extractWeights with rebalancing
load_assetvecLoad the assets and maximum weights from an excel file
load_wfoparametersLoad WFO models run parameters from an excel file
Momentumfunction Momentum
optimize_statfolioOptimize a portfolio of assets N times to get asset weight...
plot_parametersPlot the parameters for a simulation run
plot_statfolioPlot equity curves and sensitivity information related to a...
plot_wfoweightsPlot WFO weights as a stacked bar chart.
portfolio_corCalculate pairwise asset correlation vs. a portfolio
rankscoreCalculate the rankings and regularization scores of a...
riskparity_regularizeAdjust max portfolio weights using risk parity regularization
riskparity_screenVolatility adjusted momentum screen for optimizing portfolios
save_wfodataSave the WFO data structure along with related information
stitch_statfolioCreate statistical equity curves by randomly stitching a...
subset_statfolioSubset a statfolio using standard xts index formatting
wfo_equitycurveBuild the equity based on WFO weights data
wfo_getdatesCompute the WFO dates using asset universe returns and WFO...
wfo_statfolioOptimizes a portfolio of assets using walk-forward...
wfo_summaryCreate a summary of key statistics from a Walk-Forward...
jeanmarcgp/ResilientPortfolio documentation built on Dec. 8, 2017, 10:30 p.m.