129 lines
No EOL
4 KiB
Markdown
129 lines
No EOL
4 KiB
Markdown
---
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name: portfolio-optimizer
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description: Component skill for portfolio optimization using modern portfolio theory, risk metrics, efficient frontier calculation, and asset allocation strategies.
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---
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# Portfolio Optimizer
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This component skill provides sophisticated portfolio optimization capabilities for the financial analysis suite.
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## When to Use This Component Skill
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Use this skill when you need to:
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- Optimize asset allocation using Modern Portfolio Theory
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- Calculate efficient frontier and optimal portfolios
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- Perform risk assessment and stress testing
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- Analyze portfolio correlation and diversification
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- Generate portfolio recommendations
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- Backtest portfolio performance
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## Optimization Methods
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### Mean-Variance Optimization
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- **Markowitz Optimization**: Classical MPT approach
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- **Efficient Frontier**: Calculate optimal risk-return combinations
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- **Sharpe Ratio Maximization**: Find best risk-adjusted returns
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- **Minimum Variance**: Lowest risk portfolio
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### Advanced Optimization
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- **Black-Litterman Model**: Incorporate views and equilibrium
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- **Robust Optimization**: Handle estimation error
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- **Factor Models**: Risk factor-based optimization
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- **Regime-Based**: Different optimization for market conditions
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### Constraints Support
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- **Weight Constraints**: Min/max allocation limits
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- **Sector Constraints**: Industry/sector allocation limits
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- **Turnover Constraints**: Limit trading activity
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- **Cardinality Constraints**: Limit number of assets
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## Risk Metrics
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### Portfolio Risk Measures
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- **Volatility**: Standard deviation of returns
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- **VaR**: Value at Risk (95%, 99% confidence)
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- **CVaR**: Conditional Value at Risk
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- **Maximum Drawdown**: Largest peak-to-trough decline
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- **Beta**: Market sensitivity
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### Risk Contributions
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- **Marginal VaR**: Individual asset risk contribution
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- **Component VaR**: Decomposition of total risk
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- **Diversification Ratio**: Benefit of diversification
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## Asset Classes Supported
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- **Equities**: Stocks and ETFs
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- **Fixed Income**: Bonds and bond funds
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- **Commodities**: Gold, oil, agricultural products
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- **Real Estate**: REITs and property funds
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- **Cryptocurrencies**: Digital assets
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- **Cash**: Cash equivalents and money market
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## Usage Examples
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**Basic optimization:**
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"Optimize portfolio with AAPL, MSFT, GOOG for maximum Sharpe ratio"
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**Risk-focused:**
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"Find minimum variance portfolio with tech stocks and bonds"
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**Constraints:**
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"Optimize portfolio with max 10% per stock and min 5% bonds"
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**Multi-period:**
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"Create quarterly rebalancing strategy for retirement portfolio"
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## Scripts Available
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- `scripts/optimizer.py` - Main optimization engine
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- `scripts/risk_metrics.py` - Risk calculation utilities
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- `scripts/efficient_frontier.py` - Efficient frontier calculation
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- `scripts/backtester.py` - Portfolio performance backtesting
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- `scripts/rebalancer.py` - Portfolio rebalancing strategies
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## Integration
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This component skill integrates with:
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- **Data Acquisition**: Gets asset returns and data
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- **Technical Analysis**: Uses signals for timing
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- **Financial Reporting**: Provides optimization results
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## Configuration
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Configuration in `config/portfolio_optimization.json`:
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```json
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{
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"optimization": {
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"method": "sharpe_ratio",
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"risk_free_rate": 0.02,
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"frequency": "daily"
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},
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"constraints": {
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"min_weight": 0.01,
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"max_weight": 0.30,
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"max_turnover": 0.20
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},
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"risk_metrics": {
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"var_confidence": 0.95,
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"drawdown_period": 252
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}
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}
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```
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## Output Reports
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- **Optimal Weights**: Recommended asset allocation
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- **Risk Metrics**: Portfolio risk characteristics
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- **Efficient Frontier**: Risk-return tradeoff curve
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- **Performance Attribution**: Source of returns
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- **Rebalancing Schedule**: When and how to rebalance
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## Stress Testing
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- **Market Scenarios**: Historical crisis periods
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- **Monte Carlo**: Random scenario generation
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- **Factor Shocks**: Interest rate, volatility changes
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- **Correlation Breakdown**: Stress test diversification
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This is a **Component Skill** within the Financial Analysis Suite - specialized in portfolio optimization and risk management. |