Py-vAllocation
Tutorials & Examples
Getting Started
Tutorials
API Reference
Py-vAllocation Core Module
Portfolio API
Portfolio Optimization
Portfolio Views
pyvallocation.bayesian module
Probabilistic Methods
Statistical Moments Module
Portfolio Ensembling
Discrete Allocation
Stress Testing Utilities
Plotting Utilities
pyvallocation.utils package
Background
Bibliography
Release Notes
Py-vAllocation
Index
Index
_
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A
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B
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C
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D
|
E
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F
|
G
|
H
|
I
|
K
|
L
|
M
|
N
|
P
|
R
|
S
|
T
|
U
|
W
_
_asset_index (pyvallocation.bayesian.NIWPosterior attribute)
_posterior (pyvallocation.bayesian.NIWPosterior attribute)
A
achieved_weights (pyvallocation.discrete_allocation.DiscreteAllocationResult attribute)
allocate_greedy() (in module pyvallocation.discrete_allocation)
allocate_mip() (in module pyvallocation.discrete_allocation)
as_series() (pyvallocation.discrete_allocation.DiscreteAllocationResult method)
assemble_portfolio_ensemble() (in module pyvallocation.ensembles)
asset_names (pyvallocation.discrete_allocation.DiscreteAllocationInput property)
average (pyvallocation.ensembles.EnsembleResult property)
average_exposures() (in module pyvallocation.ensembles)
average_frontiers() (in module pyvallocation.ensembles)
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)
compose_repricers() (in module pyvallocation.utils.projection)
compute_effective_number_scenarios() (in module pyvallocation.probabilities)
compute_effective_number_scenarios_hhi() (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)
(pyvallocation.bayesian.RobustBayesPosterior method)
cred_radius_sigma_factor() (pyvallocation.bayesian.NIWPosterior method)
(pyvallocation.bayesian.RobustBayesPosterior method)
D
DiscreteAllocationInput (class in pyvallocation.discrete_allocation)
DiscreteAllocationResult (class in pyvallocation.discrete_allocation)
discretize_weights() (in module pyvallocation.discrete_allocation)
drawdown_quantile() (in module pyvallocation.utils.performance)
E
EnsembleResult (class in pyvallocation.ensembles)
ensembles (pyvallocation.ensembles.EnsembleResult attribute)
EnsembleSpec (class in pyvallocation.ensembles)
ensure_psd_matrix() (in module pyvallocation.utils.validation)
ensure_samples_matrix() (in module pyvallocation.utils.weights)
entropy_pooling_stress() (in module pyvallocation.stress)
estimate_moments() (in module pyvallocation.moments)
estimate_sample_moments() (in module pyvallocation.moments)
exp_decay_stress() (in module pyvallocation.stress)
exposure_stack_frontiers() (in module pyvallocation.ensembles)
exposure_stacking() (in module pyvallocation.ensembles)
F
factor_covariance_poet() (in module pyvallocation.moments)
from_niw() (pyvallocation.bayesian.RobustBayesPosterior class method)
frontier_factory (pyvallocation.ensembles.EnsembleSpec attribute)
frontier_selection (pyvallocation.ensembles.EnsembleSpec attribute)
frontiers (pyvallocation.ensembles.EnsembleResult attribute)
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() (pyvallocation.ensembles.EnsembleResult method)
get_mu_ce() (pyvallocation.bayesian.NIWPosterior method)
get_S_mu() (pyvallocation.bayesian.NIWPosterior method)
get_sigma_ce() (pyvallocation.bayesian.NIWPosterior method)
H
horizon_report() (in module pyvallocation.utils.performance)
I
is_psd() (in module pyvallocation.utils.validation)
is_updated (pyvallocation.bayesian.NIWPosterior property)
K
kernel_focus_stress() (in module pyvallocation.stress)
L
latest_prices (pyvallocation.discrete_allocation.DiscreteAllocationInput attribute)
leftover_cash (pyvallocation.discrete_allocation.DiscreteAllocationResult attribute)
linear_map() (in module pyvallocation.stress)
log2simple() (in module pyvallocation.utils.projection)
lot_sizes (pyvallocation.discrete_allocation.DiscreteAllocationInput attribute)
M
make_portfolio_spec() (in module pyvallocation.ensembles)
make_repricing_fn() (in module pyvallocation.utils.projection)
mean_uncertainty_cov_log() (pyvallocation.bayesian.RobustBayesPosterior method)
mean_uncertainty_cov_simple() (pyvallocation.bayesian.RobustBayesPosterior method)
metadata (pyvallocation.ensembles.EnsembleResult attribute)
(pyvallocation.ensembles.EnsembleSpec attribute)
module
pyvallocation.bayesian
pyvallocation.discrete_allocation
pyvallocation.ensembles
pyvallocation.plotting
pyvallocation.probabilities
pyvallocation.stress
pyvallocation.utils
pyvallocation.utils.data_helpers
pyvallocation.utils.functions
pyvallocation.utils.performance
pyvallocation.utils.projection
pyvallocation.utils.validation
pyvallocation.utils.weights
mu (pyvallocation.bayesian.RobustBayesPosterior attribute)
mu1 (pyvallocation.bayesian.NIWParams attribute)
N
N (pyvallocation.bayesian.NIWPosterior attribute)
name (pyvallocation.ensembles.EnsembleSpec attribute)
NIWParams (class in pyvallocation.bayesian)
NIWPosterior (class in pyvallocation.bayesian)
normalize_probability_vector() (in module pyvallocation.probabilities)
normalize_weights() (in module pyvallocation.utils.weights)
nu0 (pyvallocation.bayesian.NIWPosterior attribute)
nu1 (pyvallocation.bayesian.NIWParams attribute)
numpy_weights_to_pandas_series() (in module pyvallocation.utils.data_helpers)
P
pandas_to_numpy_returns() (in module pyvallocation.utils.data_helpers)
performance_report() (in module pyvallocation.utils.performance)
plot_assumptions_3d() (in module pyvallocation.plotting)
plot_frontier_report() (in module pyvallocation.plotting)
plot_frontiers() (in module pyvallocation.plotting)
plot_frontiers_grid() (in module pyvallocation.plotting)
plot_param_impact() (in module pyvallocation.plotting)
plot_robust_path() (in module pyvallocation.plotting)
plot_robust_surface() (in module pyvallocation.plotting)
plot_weights() (in module pyvallocation.plotting)
portfolio_cvar() (in module pyvallocation.utils.functions)
portfolio_var() (in module pyvallocation.utils.functions)
portfolio_variance() (in module pyvallocation.utils.functions)
portfolio_volatility() (in module pyvallocation.utils.functions)
posterior_moments_black_litterman() (in module pyvallocation.moments)
posterior_moments_niw() (in module pyvallocation.moments)
posterior_moments_niw_with_uncertainty() (in module pyvallocation.moments)
prior_mu (pyvallocation.bayesian.NIWPosterior attribute)
prior_sigma (pyvallocation.bayesian.NIWPosterior attribute)
project_mean_covariance() (in module pyvallocation.utils.projection)
project_risk_drivers() (in module pyvallocation.utils.projection)
project_scenarios() (in module pyvallocation.utils.projection)
pyvallocation.bayesian
module
pyvallocation.discrete_allocation
module
pyvallocation.ensembles
module
pyvallocation.plotting
module
pyvallocation.probabilities
module
pyvallocation.stress
module
pyvallocation.utils
module
pyvallocation.utils.data_helpers
module
pyvallocation.utils.functions
module
pyvallocation.utils.performance
module
pyvallocation.utils.projection
module
pyvallocation.utils.validation
module
pyvallocation.utils.weights
module
R
reprice_exp() (in module pyvallocation.utils.projection)
reprice_taylor() (in module pyvallocation.utils.projection)
resolve_probabilities() (in module pyvallocation.probabilities)
risk_percentile_selections() (in module pyvallocation.ensembles)
robust_covariance_tyler() (in module pyvallocation.moments)
robust_mean_huber() (in module pyvallocation.moments)
robust_mean_median_of_means() (in module pyvallocation.moments)
RobustBayesPosterior (class in pyvallocation.bayesian)
S
s_mu (pyvallocation.bayesian.RobustBayesPosterior attribute)
scenario_pnl() (in module pyvallocation.utils.performance)
selections (pyvallocation.ensembles.EnsembleResult attribute)
selector (pyvallocation.ensembles.EnsembleSpec attribute)
shares (pyvallocation.discrete_allocation.DiscreteAllocationResult attribute)
shrink_covariance_ledoit_wolf() (in module pyvallocation.moments)
shrink_covariance_nls() (in module pyvallocation.moments)
shrink_covariance_oas() (in module pyvallocation.moments)
shrink_mean_james_stein() (in module pyvallocation.moments)
shrink_mean_jorion() (in module pyvallocation.moments)
sigma (pyvallocation.bayesian.RobustBayesPosterior attribute)
sigma1 (pyvallocation.bayesian.NIWParams attribute)
(pyvallocation.bayesian.RobustBayesPosterior property)
silverman_bandwidth() (in module pyvallocation.probabilities)
simple2log() (in module pyvallocation.utils.projection)
simulate_paths() (in module pyvallocation.utils.projection)
sparse_precision_glasso() (in module pyvallocation.moments)
stack_portfolios() (in module pyvallocation.ensembles)
stacked (pyvallocation.ensembles.EnsembleResult property)
stress_invariants() (in module pyvallocation.stress)
stress_test() (in module pyvallocation.stress)
T
t0 (pyvallocation.bayesian.NIWPosterior attribute)
T1 (pyvallocation.bayesian.NIWParams attribute)
total_value (pyvallocation.discrete_allocation.DiscreteAllocationInput attribute)
tracking_error (pyvallocation.discrete_allocation.DiscreteAllocationResult attribute)
U
update() (pyvallocation.bayesian.NIWPosterior method)
W
wrap_exposure_vector() (in module pyvallocation.utils.weights)