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Portfolio Optimizer
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Checked 18h ago · Updated 3d ago
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portfoliooptimizer
Portfolio Optimizer
post
Recency Ratio
OpenAPI 3.0.1
Apache 2.0
2026-08-11
241
0
1.4 MB
dee9caba1913
Assets / Bootstrap Returns Simulation
4
Assets / Clustering / Correlation-Based
3
Assets / Correlation Matrix
14
Assets / Correlation Matrix Estimation
13
Assets / Correlation Matrix Forecast
4
Assets / Covariance Matrix
5
Assets / Covariance Matrix Estimation
7
Assets / Covariance Matrix Forecast
4
Assets / Expected Returns Estimation
3
Assets / Indicators
20
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Effective Rank
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Turbulence Index
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Absorption Ratio
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Return Streak
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Sign Momentum
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Momentum
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Fractional Momentum
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Volatility-adjusted Momentum
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Residual Momentum
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Volatility Adjusted Residual Momentum
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Rank Momentum
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Information Discreteness
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Nearness Ratio
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Recency Ratio
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Trend Clarity
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Trend Slope
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Moving Average Distance
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Return Information Signal
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Market Rank
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Entropic Connectedness
Assets / Monte Carlo Returns Simulation
10
Assets / Prices
2
Assets / Returns
3
Assets / Returns / Moments
5
Assets / Returns Fitting
9
Assets / Returns Transformation
4
Assets / Volatility Estimation
10
Assets / Volatility Forecast
5
Capital Market Assumptions
3
Factors
1
Factors / Risk Models
3
Market Indicators
4
Portfolio Analysis
6
Portfolio Analysis / Contributions
7
Portfolio Analysis / Drawdowns
9
Portfolio Analysis / Mean-Variance
7
Portfolio Analysis / Return
3
Portfolio Analysis / Returns
2
Portfolio Analysis / Returns / Moments
3
Portfolio Analysis / Returns / Partial Moments
3
Portfolio Analysis / Risk Measures
3
Portfolio Analysis / Risk Measures / Conditional Value At Risk Estimation
6
Portfolio Analysis / Risk Measures / Conditional Value At Risk Forecast
2
Portfolio Analysis / Risk Measures / Value At Risk Estimation
10
Portfolio Analysis / Risk Measures / Value At Risk Forecast
2
Portfolio Construction
1
Portfolio Optimization
15
Portfolio Optimization / Mean-Variance
16
Portfolio Optimization / Ulcer Index
2
Portfolio Post-Optimization
1
Portfolio Replication
2
Portfolio Simulation
3
Portfolio Transformation
2
Assets / Indicators
Recency Ratio
Compute the recency ratio of an asset.
References
Ajay Bhootra, Jungshik Hur, The timing of 52-week high price and momentum, Journal of Banking & Finance, Volume 37, Issue 10, 2013, Pages 3773-3782
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