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barra优化器用户手册
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msci.com
Barra Optimizer 2.0
User Guide
September 2013
MSCI Portfolio Management Analytics msci.com
© 2013 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document
Barra Optimizer 2.0 User Guide
September 2013
2 of 111
Contents
1. About This Guide ................................................................ 5
2. Portfolio Optimization with Barra ..................................... 6
2.1 Introducing Barra Optimizer ....................................................................... 6
2.2 Key Features .................................................................................................. 7
3. Basic Optimization Concepts ........................................... 9
3.1. Portfolio Optimization Definition ............................................................... 9
3.2 Units ............................................................................................................... 11
3.3. Portfolio Balance Constraint ................................................................... 12
3.4. Asset Types ................................................................................................ 12
3.5. Return ........................................................................................................... 13
3.6. Bounds and Linear Constraints ............................................................ 14
3.7. Risk Control in Optimization – Aversions, Constraints, and
Grouping.................................................................................................................. 15
3.8. Turnover and Transaction Cost Control ............................................. 21
3.9. Constraint Flexibility – Penalties, Soft Bounds, and Hierarchy .... 25
3.10. Optimization Inspection ......................................................................... 31
4. Advanced Optimization Topics ...................................... 34
4.1. Threshold and Cardinality Constraints – Paring Optimization ..... 34
4.2. Roundlotting – Optimal and Post-Optimization ................................ 36
4.3. Risk Parity .................................................................................................... 37
4.4. Residual Alpha ........................................................................................... 39
4.5. By-Side Optimization – Leverage, Turnover by Side, Cardinality
by Side ..................................................................................................................... 40
4.6. Solving a General Linear or Convex Quadratic Program ............. 44
4.7. Tax Aware Optimization .......................................................................... 45
4.8. 5-10-40 Rule ............................................................................................... 50
4.9. Maximizing the Sharpe or Information Ratio ..................................... 50
4.10. Optimal Frontiers – Parametric Optimization .................................. 51
5. Using the Barra Optimizer APIs .................................... 54
5.1. Create a Workspace ................................................................................ 54
MSCI Portfolio Management Analytics msci.com
© 2013 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document
Barra Optimizer 2.0 User Guide
September 2013
3 of 111
5.2. Add Assets into Workspace ................................................................... 54
5.3. Construct Initial Portfolio, Benchmark, and Trade Universe ......... 55
5.4. Define Risk Model ..................................................................................... 55
5.5. Prepare Optimization Case .................................................................... 56
5.6. Run Optimization ....................................................................................... 61
5.7. Inspect Output ............................................................................................ 61
5.8. Data Serialization....................................................................................... 66
5.9. Release Resources .................................................................................. 67
5.10. Reference and Tutorial Sample Codes ............................................ 67
6. Using MATLAB, R, and SAS Interface ........................ 68
6.1. Working with MATLAB Interface .......................................................... 68
6.2. Working with R Language Interface .................................................... 71
6.3. Working with SAS Interface ................................................................... 72
7. Using the Barra Optimizer XML .................................... 77
7.1. <WorkSpace> ............................................................................................ 78
7.2. <Data> .......................................................................................................... 79
7.3. <Portfolios> ................................................................................................. 82
7.4. <Risk_Models> .......................................................................................... 82
7.5. <Rebalance_Profiles> ............................................................................. 83
7.6. <Rebalance_Job> .................................................................................... 92
7.7. <Rebalance_Result> ............................................................................... 93
7.8. Using XML APIs ........................................................................................ 94
8. Using the Command Line Executable ......................... 99
8.1. Loading Barra Models Direct Data ....................................................... 99
8.2. Running Optimization With Each Element of the Workspace ..... 99
8.3. Running Optimization With a Single Workspace ........................... 100
8.4. Converting Protobuf
XML ............................................................... 100
8.5. Converting WSP
Protobuf/XML .................................................... 100
8.6. Converting WSP => Legacy XML format ........................................ 100
8.7. Additional Options ................................................................................... 100
9. Frequently Asked Questions........................................ 101
Appendix A. Explanation of Outputs ............................... 102
Appendix B. Availability of Features and Functions .... 103
Appendix C: Glossary ........................................................ 104
MSCI Portfolio Management Analytics msci.com
© 2013 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document
Barra Optimizer 2.0 User Guide
September 2013
4 of 111
Appendix D: Object Model ................................................ 105
Appendix E: API Class References ................................ 108
Appendix F: API Diagram ................................................. 109
References ........................................................................... 110
MSCI Portfolio Management Analytics msci.com
© 2013 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document
Barra Optimizer 2.0 User Guide
September 2013
5 of 111
1. About This Guide
Barra Optimizer is a software package that handles a wide variety of portfolio construction and
optimization problems. Barra Open Optimizer is the stand-alone version of the same solver
(Barra Optimizer) available in Barra Portfolio Manager and Aegis. Barra Open Optimizer provides
C++, Java, C#, and COM APIs to enable you to develop your applications using C++, Java, C#,
Visual Basic, Excel VBA, MATLAB, R, and SAS.
This guide explains the various types of portfolio optimizations that Barra Optimizer can handle
and includes the following information about Barra Optimizer:
• Brief problem definitions and high-level descriptions of the features and functionalities.
• Insightful mathematical formulations and illustrative examples.
• API information for programmers who would like to develop advanced portfolio
optimization applications with ease by taking advantage of the powerful features
offered by Barra Optimizer.
This guide currently applies to the standalone Barra Open Optimizer 2.0 only and the
functionality described here may apply to future releases of Barra Portfolio Manager and Barra
Aegis. You can use this guide as a reference when using Barra Optimizer via Barra’s portfolio and
risk management products or using the Barra Open Optimizer library directly.
Note: The actual implementation in a given product may also be more or less restrictive than
what is described here. If you are interested in the theoretical background of optimization, you
may find references listed at the end of this guide.
Typographic Conventions
Throughout this guide, vectors and matrices are in bold fonts, whereas scalar variables are in
italicized fonts.
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