def _calculate_weights_standalone_portfolio(self):
"""
For a standalone portfolio, calculates volatility weights
Uses the candidate matching method
:return: list of weights
"""
assert len(self.instruments) <= MAX_CLUSTER_SIZE
assert self.sub_portfolios is NO_SUB_PORTFOLIOS
raw_weights = get_weights_using_candidate_method(
self.corr_matrix.values)
self.raw_weights = raw_weights
use_SR_estimates = self.use_SR_estimates
if use_SR_estimates:
SR_list = self.sharpe_ratio
years_of_data = self.years_of_data
avg_correlation = get_avg_corr(self.corr_matrix.values)
adjusted_weights = adjust_weights_for_SR(raw_weights, SR_list,
years_of_data,
avg_correlation)
else:
adjusted_weights = raw_weights
return adjusted_weights
def shrink_corr(corrmatrix, shrinkage_corr):
"""
>>> sigma=np.array([[1.0,0.0,0.5], [0.0, 1.0, 0.75],[0.5, 0.75, 1.0]])
>>> shrink_corr(sigma, 0.5)
array([[ 1. , 0.20833333, 0.45833333],
[ 0.20833333, 1. , 0.58333333],
[ 0.45833333, 0.58333333, 1. ]])
>>> shrink_corr(sigma, 0.0)
array([[ 1. , 0. , 0.5 ],
[ 0. , 1. , 0.75],
[ 0.5 , 0.75, 1. ]])
>>> shrink_corr(sigma, 1.0)
array([[ 1. , 0.41666667, 0.41666667],
[ 0.41666667, 1. , 0.41666667],
[ 0.41666667, 0.41666667, 1. ]])
"""
avg_corr=get_avg_corr(corrmatrix)
prior_corr=boring_corr_matrix(corrmatrix.shape[0], offdiag=avg_corr)
sigma_corr=shrinkage_corr*prior_corr+(1-shrinkage_corr)*corrmatrix
return sigma_corr
def shrink_corr(corrmatrix, shrinkage_corr):
"""
>>> sigma=np.array([[1.0,0.0,0.5], [0.0, 1.0, 0.75],[0.5, 0.75, 1.0]])
>>> shrink_corr(sigma, 0.5)
array([[ 1. , 0.20833333, 0.45833333],
[ 0.20833333, 1. , 0.58333333],
[ 0.45833333, 0.58333333, 1. ]])
>>> shrink_corr(sigma, 0.0)
array([[ 1. , 0. , 0.5 ],
[ 0. , 1. , 0.75],
[ 0.5 , 0.75, 1. ]])
>>> shrink_corr(sigma, 1.0)
array([[ 1. , 0.41666667, 0.41666667],
[ 0.41666667, 1. , 0.41666667],
[ 0.41666667, 0.41666667, 1. ]])
"""
avg_corr=get_avg_corr(corrmatrix)
prior_corr=boring_corr_matrix(corrmatrix.shape[0], offdiag=avg_corr)
sigma_corr=shrinkage_corr*prior_corr+(1-shrinkage_corr)*corrmatrix
return sigma_corr
