Hi All,
Can you please tell me if it is possible to define a weight matrix to be used into a portfolio with corresponding strategies?
Seems it is possible from the portfolio via a new payout like for the equalweight or perhaps another parameter ?
Thanks
Regards
Greg
Hi Greg,
You are correct. You will need to define your allocation matrix in a portfolio payout function (like equal-weight). This portfolio payout function takes a multi-colum (assets) xts of asset returns as input, and returns an xts (same shape as input) of allocations per asset. Constraint is that total weights of the portfolio (equivalent to summing all values of one row in your xts) is between 0 and 1. As per individual strategy payouts, you will need to publish this portfolio payout in Qlib.
As you may need some past values to do your calibration, for example if you are using rolling historical asset volatilities or rolling asset betas to the benchmark, you may want to use an equal weight allocation (no need of past values) until you have enough data points to compute your actual allocation logics.
Hope this helps.