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Published 20 hours ago • verified publisher icon jankrepl

Custom portfolio benchmark

Open jankrepl opened this issue 5 years ago • 4 comments

It would be nice to have a benchmark that is just some predefined portfolio. One would construct it by passing all the weights.

jankrepl avatar May 28 '20 09:05 jankrepl

Hi,

Generating synthetic data is harder.

In this case:

  1. Could you please upload the daily returns or give me 100 stocks that I can download from yahoo finance or can I pick 100 random stocks from sp500_mean.csv ?

  2. The issue has the content benchmark that is just some predefined portfolio? Can I upload a benchmark example that will generate weights "from the optional rebalance count"?

diegolovison avatar Jul 24 '21 14:07 diegolovison

Hey there!

I think what I meant here was that it would be nice to create a new Benchmark subclass (see deepdow/benchmarks.py) that would accept a fixed w of shape (n_assets, ) representing predefined weights. The __call__ method would just return it independently of x.

The actual choice of w would be completely up to the user. I hope that makes sense:)

jankrepl avatar Jul 24 '21 15:07 jankrepl

What I wish to do it is not related to that. Thanks for the clarification.

diegolovison avatar Jul 24 '21 16:07 diegolovison

Hey @jankrepl, have you been able to get more into to this type of predefined portfolio benchmark?

guillermop98 avatar Mar 31 '22 17:03 guillermop98