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Example 10 hotfix
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ft-adm committed Nov 7, 2024
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7 changes: 3 additions & 4 deletions examples/10_DerivPortOpt_ParamUncertainty.ipynb
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"metadata": {},
"outputs": [],
"source": [
"# Copy constraints from https://ssrn.com/abstract=4217884.\n",
"# Copy constraints from https://ssrn.com/abstract=4217884\n",
"v = np.hstack((np.ones(I), [put_90, put_95, put_atmf, call_atmf, call_105, call_110]))\n",
"G = np.vstack((np.eye(len(v)), -np.eye(len(v))))\n",
"options_bounds = 0.5 * np.ones(6)\n",
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"cell_type": "markdown",
"metadata": {},
"source": [
"# Exposure Stacking\n",
"We implement the new Exposure Stacking method and test it against out-of-sample means and variances. As can be seen, Exposure Stacking has potential for better risk-adjusted returns than the traditional resampling method."
"# Exposure Stacking"
]
},
{
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"metadata": {},
"outputs": [],
"source": [
"# Left in order to align with the walkthrough video https://youtu.be/DxXYn5SX3LA.\n",
"# Left in order to align with the walkthrough video https://youtu.be/DxXYn5SX3LA\n",
"# In practice, we recommend that you use the ft.exposure_stacking function.\n",
"def exposure_stacking(L, frontier, num_samples):\n",
" \"\"\"Computes the L-fold Exposure Stacking.\n",
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