Windham Portfolio Advisor
  • Windham Portfolio Advisor Support
  • Installation
    • Installing the Windham Portfolio Advisor
    • Installation Prerequisites
    • Installation FAQ
      • License Key Management
  • Time Series
  • Managing Custom Time Series
  • Custom Time Series Excel Add-in
  • Custom Time Series Utility
  • Updating the Windham Time Series Database
  • Mixing Data Periodicities within a Case File
  • Hedged and Unhedged Time Series
  • Overlays
  • Expected Risk
    • Annualizing Volatility and Return
    • Correlation
    • Covariance
    • Exponential Risk
    • Quiet and Turbulent Risk
    • Series Filter
    • Views (Risk and Correlation)
  • Expected Returns
    • Historical Returns
    • Equilibrium Returns
    • Implied Returns
    • Black-Litterman
    • Blend
    • Estimating Future Value: Arithmetic or Geometric
  • Optimization
    • Multi-goal Optimization
    • Transaction Costs and Turnover Controls
    • Risk Aversion
    • Full-Scale Optimization
  • Simulation
    • Simulation Methods
  • Exposure to Loss
    • Value at Risk
    • Probability of Loss
  • Risk Budgets
    • Risk Budgets
    • Value at Risk Sensitivities
  • Factor Analysis
    • Windham Factors
    • Factor Analysis
  • Cash Flow Analysis
    • Cash Flow Rules
    • Distribution of Wealth
    • Target Wealth Probability
  • Miscellaneous
    • Effective Tax Rates
    • Shadow Assets, Shadow Liabilities, and Illiquidity
    • Asset-liability Optimization
Powered by GitBook
On this page
  1. Expected Risk

Views (Risk and Correlation)

The WPA allows the user to input custom views for expected risk and correlations.

PreviousSeries FilterNextHistorical Returns

Last updated 4 years ago

The users may enter up to five different sets of views in the grid. To select a set of expected risk and correlation (covariance) model for analysis, click on the column heading to highlight the column.

The user will be able to initialize a custom view by copying from the historical full-sample estimates.

When specifying views for risk, it is also essential to carefully consider the specification of correlation coefficients. If a correlation matrix is not positive semi-definite, WPA can either correct to the nearest positive semi-definite matrix or re-initialize the respective view estimates to the historical correlation matrix.

Expected Risk Views
Context menu for interaction with Expected Risk Views
Matrix positive semi-definite verification