Portfolios
YearsRebalancingMetricsMatricesMinVarRight-tail weightedHurst exponent weightedRight-tail-Hurst weighted
2 No rebalancing Log-return pdfs, fractal dimensions, tail risks, CVaR Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,
2 Rebalanced quarterly Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,
5 No rebalancing Log-return pdfs, fractal dimensions, tail risks, CVaR Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,
5 Rebalanced quarterly Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,
10 No rebalancing Log-return pdfs, fractal dimensions, tail risks, CVaR Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,
10 Rebalanced quarterly Returns, Weights, Returns, Weights, Returns, Weights, Returns, Weights,



-MinVar - Minimum variance portofolio, tangency is used for unbalanced, whereas minimum variance is use for rebalanced portfolios.
-EWMA - Exponential weighted moving average determination of returns and standard deviation.
-RES - Component subtraction used to remove effect of the first principal component of the correlation matrix on returns.
-MP - Component subtraction used to remove effect of noise eigenvectors (below Marcenko-Pastur cutoff, lambda+), on returns.
-RESMP - Component subtraction employed to remove effects of greatest principal component and noise eigenvectors below MP cutoff.
-DK - Daniels-Kass shrinkage of correlation matrix.
-LW - Ledoit-Wolf shrinkage of correlation matrix.
-SS - Schafer-Strimmer shrinkage of correlation matrix.
-^GSPC - S&P 500 index.
-Dividends applied to all portfolios.

© 2013 RMP, LLC