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DROP Portfolio Construction Asset Package

DROP Portfolio Construction Asset Package contains the Asset Characteristics, Bounds, Portfolio Benchmarks.

Class Components

  • AssetBounds AssetBounds holds the Upper/Lower Bounds on an Asset.

  • AssetComponent AssetComponent holds the Amount of an Asset given by the corresponding ID.

  • Portfolio Portfolio implements an Instance of the Portfolio of Assets.

  • PortfolioBenchmarkMetrics PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with respect to a Benchmark.

  • PortfolioMetrics PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.

References

  • Grinold, R. C., and R. N. Kahn (1999): Active Portfolio Management, 2nd Edition McGraw-Hill NY

  • Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels Ibbotson Associates Chicago, IL

DROP Specifications