Index

_

_asset_index (pyvallocation.bayesian.NIWPosterior attribute)

_posterior (pyvallocation.bayesian.NIWPosterior attribute)

B

build_G_h_A_b() (in module pyvallocation.utils.constraints)

C

check_non_negativity() (in module pyvallocation.utils.validation) check_weights_sum_to_one() (in module pyvallocation.utils.validation) chi2_quantile() (in module pyvallocation.bayesian) compute_effective_number_scenarios() (in module pyvallocation.probabilities)

convert_scenarios_compound_to_simple() (in module pyvallocation.utils.projection) convert_scenarios_simple_to_compound() (in module pyvallocation.utils.projection) cred_radius_mu() (pyvallocation.bayesian.NIWPosterior method) cred_radius_sigma_factor() (pyvallocation.bayesian.NIWPosterior method)

E

efficient_frontier() (pyvallocation.optimization.MeanCVaR method) (pyvallocation.optimization.MeanVariance method) (pyvallocation.optimization.RobustOptimizer method)

efficient_portfolio() (pyvallocation.optimization.MeanCVaR method) (pyvallocation.optimization.MeanVariance method) ensure_psd_matrix() (in module pyvallocation.utils.validation) estimate_sample_moments() (in module pyvallocation.moments)

G

generate_exp_decay_probabilities() (in module pyvallocation.probabilities) generate_gaussian_kernel_probabilities() (in module pyvallocation.probabilities) generate_uniform_probabilities() (in module pyvallocation.probabilities)

get_mu_ce() (pyvallocation.bayesian.NIWPosterior method) get_posterior() (pyvallocation.bayesian.NIWPosterior method) get_S_mu() (pyvallocation.bayesian.NIWPosterior method) get_sigma_ce() (pyvallocation.bayesian.NIWPosterior method)

I

is_psd() (in module pyvallocation.utils.validation)

L

log2simple() (in module pyvallocation.utils.projection)

M

MeanCVaR (class in pyvallocation.optimization) MeanVariance (class in pyvallocation.optimization) module pyvallocation.bayesian pyvallocation.moments pyvallocation.optimization pyvallocation.probabilities pyvallocation.utils pyvallocation.utils.data_helpers pyvallocation.utils.functions pyvallocation.utils.projection pyvallocation.utils.validation

mu1 (pyvallocation.bayesian.NIWParams attribute)

N

N (pyvallocation.bayesian.NIWPosterior attribute) NIWParams (class in pyvallocation.bayesian) NIWPosterior (class in pyvallocation.bayesian)

nominal_return (pyvallocation.optimization.OptimizationResult attribute) nu0 (pyvallocation.bayesian.NIWPosterior attribute) nu1 (pyvallocation.bayesian.NIWParams attribute) numpy_weights_to_pandas_series() (in module pyvallocation.utils.data_helpers)

O

OptimizationResult (class in pyvallocation.optimization)

P

pandas_to_numpy_returns() (in module pyvallocation.utils.data_helpers) portfolio_cvar() (in module pyvallocation.utils.functions) portfolio_var() (in module pyvallocation.utils.functions) prior_mu (pyvallocation.bayesian.NIWPosterior attribute) prior_sigma (pyvallocation.bayesian.NIWPosterior attribute) project_mean_covariance() (in module pyvallocation.utils.projection) project_scenarios() (in module pyvallocation.utils.projection) pyvallocation.bayesian module pyvallocation.moments module pyvallocation.optimization module

pyvallocation.probabilities module pyvallocation.utils module pyvallocation.utils.data_helpers module pyvallocation.utils.functions module pyvallocation.utils.projection module pyvallocation.utils.validation module

R

risk (pyvallocation.optimization.OptimizationResult attribute)

RobustOptimizer (class in pyvallocation.optimization)

S

shrink_covariance_ledoit_wolf() (in module pyvallocation.moments) shrink_mean_jorion() (in module pyvallocation.moments) sigma1 (pyvallocation.bayesian.NIWParams attribute)

silverman_bandwidth() (in module pyvallocation.probabilities) simple2log() (in module pyvallocation.utils.projection) solve_gamma_variant() (pyvallocation.optimization.RobustOptimizer method) solve_lambda_variant() (pyvallocation.optimization.RobustOptimizer method)

T

t0 (pyvallocation.bayesian.NIWPosterior attribute)

T1 (pyvallocation.bayesian.NIWParams attribute)

U

update() (pyvallocation.bayesian.NIWPosterior method)

W

weights (pyvallocation.optimization.OptimizationResult attribute)