EXPECTEDRETURN

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Keyword Description

Tells Mechanica where to find previously saved values for expected returns when running a Mean Variance Optimization

Class

Directive

Where Legal

Resources

Entry Logic

Exit Logic

Initial Size

Resize

(Pre-Category)

Resize

(Category-Level)

 

 

 

 

l

l

Syntax

EXPECTEDRETURN

 

Example

Sample code

EXPECTEDRETURN = SIZING[6]        'tell Mechanica where to find expected return values used in MVO

 

See also:

UTILITY, NOWEIGHT, TOTALRISKTARGET, MINPOSITIONS, Markowitz style portfolio optimization

..\Sample Rules\Position Sizing Rules\ReAllocate.siz