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st: new package -mvport- available in SSC


From   Alberto Dorantes <alberto.dorantes@finanzastec.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: new package -mvport- available in SSC
Date   Wed, 9 Oct 2013 16:44:35 -0500

-mvport- is a Stata package for collection of optimization of
financial portfolios.

This package is a set of commands to a) collect online stock data and
b) manage financial returns to find minimum variance and optimal
portfolios, and to simulate random combinations of portfolios. The
commands are the following:

 -returnsyh- gets prices and trade volume of a list of stocks from
Yahoo Finance, computes simple and continuously compounded returns,
and integrates the data in one dataset
 -meanrets- calculates the expected simple returns of a historical
series of continuously compounded returns
 -varrets- calculates the variance-covariance matrix of a series of
continously compounded returns (with the option of pairwise
covariances or casewise deletion)
 -gmvport- calculates the global minimum variance portfolio of a set
of continously compounded returns following Portfolio Theory.
Inequality constraints can be specified for the weights (used to avoid
short sales)
  -mvport- calculates the minimum variance portfolio given a required
rate of return following Portfolio Theory. Inequality constraints can
be specified for the weights (used to avoid short sales)
  -ovport- calculates the optimal variance portfolio (the tangent
portfolio) that lies in the Capital Market Line.
  - efrontier - generates and graphs two efficient frontiers: with and
without allowing for short sales
 -cmline- generates and graphs the efficient frontier along with the
capital market line when adding a risk-free asset
 -simport- simulates random portfolios inside the efficient frontier

For more information about the algorithms used in this package, you
can check the talk "Commands for financial data management and
portfolio optimization", which was presented in the 2013 Mexican Stata
user meeting.

You can install the package via -ssc install mvport- or -findit mvport-

Stata 12 is required for this package. If you have Stata 11, let me know
and I can help you out.

Sincerely,

Alberto Dorantes
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