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Asset Allocation Analytics Library

Asset Allocation Analytics Library implements Optimal Portfolio Construction and Asset Allocation Functionality.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Portfolio Construction => Optimal and Constrained Portfolio Construction Functionality.

Coverage

  • Modern Portfolio Theory
    • Introduction, Background, Focus, and Motivation
    • Mathematical Model
    • Asset Pricing
    • Criticisms
    • Other Applications
    • References
  • Factor Investing
    • Introduction
    • Value Factor
    • Low-volatility Factor
    • Momentum Factor
    • References
  • Fama-French Three-Factor Model
    • Introduction
    • Background and Development
    • Discussion
    • Fama-French Five-Factor Model
    • References
  • Carhart Four-Factor Model
    • Introduction
    • Development
    • References
  • The Black Litterman Model
    • Overview
    • Introduction
    • Historical Taxonomy amd Literature Survey
    • Canonical Black Litterman Reference Model
    • Computing the Equilibrium Returns
    • Specifying the Views
    • View Distribution in the Asset Space - Derivation
    • Specifying \Omega
    • \Omega Proportional to the Variance of the Prior
    • Using Confidence Interval for \Omega
    • \Omega as a Residual of Variances from a Factor Model
    • Using Idzorek Method for \Omega
    • The Estimation Model
    • Theil's Mixed Estimation Model
    • A Quick Introduction to Bayes' Theorem
    • The PDF Based Approach
    • Using Bayes' Theorem for the Estimation Model
    • The Alternate Reference Model
    • The Impact of \tau
    • Calibration of \tau
    • Black Litterman Model Implementation Steps
    • Extensions to the Black Litterman Model
    • References
  • The Intuition behind Black Litterman Model Portfolios
    • Purpose, Drivers, and Primary Motivation
    • Analyzing the Unconstrained Optimal Portfolio
    • Impact of an Incremental Projection
    • Projection Distribution Dependence on Parameters
    • Black Litterman Intuition Numerical Examples
    • References
  • Incorporating User Specified Confidence Levels
    • Overview
    • Introduction
    • Estimating the Excess Returns Distribution
    • Reverse Optimization of Expected Returns
    • The Black Litterman Model
    • Building the Inputs
    • Fine Tuning the Model
    • Method for Incorporating User-Specified Confidence Levels
    • Implied Confidence Levels
    • The Tilt Based Intuitive Approach
    • References
  • Simplified Black Litterman Surplus Optimizer
    • Background
    • Black Litterman Surplus Optimizer Inputs
    • Cash Flow Projections and Liability Returns
    • References
  • Multiple Security Portfolios Optimal Trajectory
    • Trading Model
    • Optimal Trajectories
    • Explicit Solution for a Diagonal Model
    • Almgren and Chriss (2000) Example
    • References
  • Asset Allocation Workspace Objects
    • Allocation Workspace
    • Allocation Workspace -> Account
    • Allocation Workspace -> Risk Model
    • Allocation Workspace -> Alpha Group
    • Allocation Workspace -> Alpha Uncertainty Group
    • Allocation Workspace -> Transaction Cost Model
    • Allocation Workspace -> Transaction Cost Model Group
    • Allocation Workspace -> Benchmark
    • Allocation Workspace -> Attribute
    • Allocation Workspace -> Classification Model
    • Allocation Workspace -> Tax Accounting Scheme
    • Allocation Workspace -> Strategy
    • Allocation Workspace -> Strategy -> Options
    • Allocation Workspace -> Strategy -> Objective Group
    • Allocation Workspace -> Strategy -> Constraint
    • Allocation Workspace -> Rebalancing
  • Asset Allocation Objective Terms
    • Symbology
    • Net Tilt Objective Term
    • Tilt Long Objective Term
    • Tilt Short Objective Term
    • Net Tax Gains Objective Term
    • Custom Net Tax Gains Objective Term
    • Tax Liability Objective Term
    • Risk (Standard Deviation) Objective Term
    • Variance Objective Term
    • MVO (Expected Returns) Objective Term
    • Robust Objective Term
    • Fixed Charge Buy Cost Objective Term
    • Fixed Charge Sell Cost Objective Term
    • Fixed Charge Transaction Cost Objective Term
    • Goldman Sachs Shortfall Objective Term
    • Linear Buy Objective Term
    • Linear Sell Objective Term
    • Linear Transaction Cost Objective Term
    • Market Impact Objective Term
    • Short Sell Cost Objective Term
    • Transaction Cost Objective Term
  • Asset Allocation Constraint Terms
    • Limit Absolute Exposure Constraint Term
    • Limit Net Exposure Constraint Term
    • Limit Net Issuer Exposure Constraint Term
    • Limit Issuer Long Exposure Constraint Term
    • Limit Issuer Short Exposure Constraint Term
    • Budget Constraint Term
    • After Transaction Constraint Term
    • Limit Absolute Holdings Constraint Term
    • Limit Net Holdings Constraint Term
    • Limit Issuer Net Holdings Constraint Term
    • Limit Issuer Long Holdings Constraint Term
    • Limit Issuer Short Holdings Constraint Term
    • Limit Long/Short Holdings Constraint Term
    • Limit Weighted Average Holdings Constraint Term
    • Limit Model Deviation Constraint Term
    • Limit Minimum Holding Period Constraint Term
    • Limit Threshold Net Holding Constraint Term
    • Limit Threshold Long Holding Constraint Term
    • Limit Threshold Short holding Constraint Term
    • Limit Total Names Constraint Term
    • Limit Long Names Constraint Term
    • Limit Short Names Constraint Term
    • Limit Number of Trades Constraint Term
    • Limit Number of Buy Trades Constraint Term
    • Limit Number of Sell Trades Constraint Term
    • Limit Risk Constraint Term
    • Limit Relative Marginal Contribution To Risk Constraint Term
    • Limit Almost Long-Term Gains Constraint Term
    • Limit Gross Tax Gains Constraint Term
    • Limit Gross Tax Loss Constraint Term
    • Limit Net Tax Loss Constraint Term
    • Limit Net Gain Constraint Term
    • Limit Tax Liability Constraint Term
    • Limit Buy Constraint Term
    • Limit Sell Constraint Term
    • Limit Short Sell Constraint Term
    • Limit Trade Constraint Term
    • Limit Issuer Trade Constraint Term
    • Limit Turnover Constraint Term
    • Limit Transaction Cost Constraint Term
    • Limit Goldman Sachs Shortfall Constraint Term
    • Limit Number of Threshold Buy Trades Constraint Term
    • Limit Number of Threshold Sell Trades Constraint Term
    • Limit Number of Threshold Trades Constraint Term

DROP Specifications