-
Notifications
You must be signed in to change notification settings - Fork 1
/
Copy path1README.txt
18 lines (18 loc) · 1.72 KB
/
1README.txt
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
Name of the file & Short description & Language
--------------------------------------------------------------------------------------------------------------------------
toGDX.gms & Loads data from .xlsx to .gdx file & GAMS
MCtoGDX.gms & Loads results from Monte Carlo simulation to .gdx file & GAMS
MonthlyReturns.gms & Compounds 4-week returns & GAMS
RollingScenarios.gms & Generates rolling scenarios using Bootstrapping method & GAMS
MonteCarlo.py & Generates scenarios using Monte Carlo method & Python
Targets.gms & Generates Bootstrapping targets based on 1/N portfolio & GAMS
Targets_Sub.gms & Generates Bootstrapping targets based on a benchmark & GAMS
TargetsMC_Sub.gms & Generates Monte Carlo targets based on a benchmark & GAMS
EQPortfolio.gms & Creates 1/N portfolio & GAMS
EQPortfolio_Sub.gms & Creates 1/N portfolio for a given subset of ETFs & GAMS
PortBoot.gms & Creates optimal portfolio from the whole universe of ETFs using Bootstrapping method & GAMS
PortMC.gms & Creates optimal portfolio from the whole universe of ETFs using Monte Carlo method & GAMS
PortBoot_Sub.gm & Creates optimal portfolio from a subset of ETFs using Bootstrapping method & GAMS
PortMC_Sub.gms & Creates optimal portfolio from a subset of ETFs using Monte Carlo method & GAMS
ETFs_Stat.py & Statistical analysis, performances of our optimal portfolios of ETFs & Python
MutualFunds_Stat.py & Statistical analysis, performances of Danish mutual funds and comparison with our portfolios & Python