We’ve released a webinar series about using pre-defined portfolio payout functions on the platform, watch the webinar here. You can load and run the supporting script by calling forkTemplate(‘webinar’) from your Alphien Studio or directly run the notebook.
The minimum variance portfolio
To be sure, estimating risk parameters is also a serious challenge, with issues such as the curse of dimensionality when dealing with a large number of assets as well as the curse of non-stationarity of risk in the stock market […]", the EDHEC Risk institute argues in their article Advantages and Shortcomings of Minimum Variance Portfolios.
In our portfolio payout webinar series, we show you how to construct the minimum variance portfolio using Alphien’s available portfolio payout functions. Here is the code:
portfolio(list('TYa', 'USHYa', 'BNKa')) %% payout(minVarWeight, rollingPeriod=250, rebalancingFreq='daily') %% payout(minRebalFreq) %% evaluate() - mvPort
You can explore the minVarWeight function in more detail on the platform; just run ?minVarWeight in your Alphien Studio console or directly browse the Qlib. If you want to know more about the theoretical grounds of the minimum variance portfolio, read our wiki page about it.
The equal risk contribution portfolio
As Thierry Roncalli et al. explain in the article “On the Properties of Equally-Weighted Risk Contributions Portfolios”: “[…] equally-weighted risk contributions portfolios appear to be an attractive alternative to minimum variance and equally-weighted portfolios and might be considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversification.”
The code to create such a portfolio on Alphien is:
portfolio(list('TYa', 'USHYa', 'BNKa')) %% payout(ercWeight, rollingPeriod = 250, rebalancingFreq='daily') %% payout(minRebalFreq) %% evaluate() - ercPort
Again, you can run ?ercWeight in your Alphien Studio console or directly browse the Qlib to see the source code. If you want to know more about the theoretical grounds of the equal risk weighted portfolio, read our wiki page about it.