Index

_

_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)