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DROP Portfolio Construction

DROP Portfolio Construction Composite Package contains the Portfolio Construction Component Group Suite.

Component Packages

  • Allocator DROP Portfolio Construction Allocator Package implements the MVO Based Portfolio Allocation Construction.

  • ALM DROP Portfolio Construction ALM Package implements the Sharpe Tint Asset Liability Manager.

  • Asset DROP Portfolio Construction Asset Package contains the Asset Characteristics, Bounds, Portfolio Benchmarks.

  • Bayesian DROP Portfolio Construction Bayesian Package implements Black Litterman Bayesian Portfolio Construction.

  • Composite DROP Portfolio Construction Constraint Package implements the Portfolio Construction Constraint Term Suite.

  • Constraint DROP Portfolio Construction Constraint Package implements the Portfolio Construction Constraint Term Suite.

  • Core DROP Portfolio Construction Core Package implements the Core Portfolio Construction Component Suite.

  • Cost DROP Portfolio Construction Cost Package implements the Transaction Charge Objective Term Suite.

  • MPT DROP Portfolio Construction MPT Package implements the Security Characteristic Capital Allocation Lines.

  • Objective DROP Portfolio Construction Objective Package holds the Portfolio Construction Objective Term Suite.

  • Optimizer DROP Portfolio Construction Optimizer Package holds the Core Portfolio Construction Optimizer Suite.

  • Params DROP Portfolio Construction Params Package holds the Asset Universe Statistical Properties Container.

  • Risk DROP Portfolio Construction Risk Package implements the Portfolio Construction Risk/Covariance Component.

References

  • Grinold, R. C., and R. N. Kahn (1999): Active Portfolio Management, 2nd Edition McGraw Hill NY

  • He. G., and R. Litterman (1999): The Intuition behind the Black Litterman Model Portfolios Goldman Sachs Asset Management

  • Idzorek, T. (2005): A Step by Step Guide to the Black Litterman Model: Incorporating User Specified Confidence Levels Ibbotson Associates Chicago, IL

  • Meucci, A. (2005): Risk and Asset Allocation Springer Finance

DROP Specifications