OpenBB/website/content/terminal/reference/portfolio/po/maxutil.md

title, description

title	description
maxutil	OpenBB Terminal Function

maxutil

Maximizes a risk averse utility function

Usage

maxutil [-ra RISK_AVERSION] [-tr TARGET_RETURN] [-tk TARGET_RISK] [-m {hist,ewma1,ewma2}] [-cv {hist,ewma1,ewma2,ledoit,oas,shrunk,gl,jlogo,fixed,spectral,shrink}] [-de SMOOTHING_FACTOR_EWMA] [-vs SHORT_ALLOCATION] [-rm {MV,MAD,MSV,FLPM,SLPM,CVaR,EVaR,WR,ADD,UCI,CDaR,EDaR,MDD}] [-mt METHOD] [-ct CATEGORIES] [-p PERIOD] [-s START_PERIOD] [-e END_PERIOD] [-lr] [--freq {d,w,m}] [-mn MAX_NAN] [-th THRESHOLD_VALUE] [-r RISK_FREE] [-a SIGNIFICANCE_LEVEL] [-v LONG_ALLOCATION] [--name NAME]

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Parameters

Name	Description	Default	Optional	Choices
risk_aversion	Risk aversion parameter	1	True	None
target_return	Constraint on minimum level of portfolio's return	-1	True	None
target_risk	Constraint on maximum level of portfolio's risk	-1	True	None
expected_return	Method used to estimate the expected return vector	hist	True	hist, ewma1, ewma2
covariance	Method used to estimate covariance matrix. Possible values are 'hist': historical method 'ewma1': exponential weighted moving average with adjust=True 'ewma2': exponential weighted moving average with adjust=False 'ledoit': Ledoit and Wolf shrinkage method 'oas': oracle shrinkage method 'shrunk': scikit-learn shrunk method 'gl': graphical lasso method 'jlogo': j-logo covariance 'fixed': takes average of eigenvalues above max Marchenko Pastour limit 'spectral': makes zero eigenvalues above max Marchenko Pastour limit 'shrink': Lopez de Prado's book shrinkage method	hist	True	hist, ewma1, ewma2, ledoit, oas, shrunk, gl, jlogo, fixed, spectral, shrink
smoothing_factor_ewma	Smoothing factor for ewma estimators	0.94	True	None
short_allocation	Amount to allocate to portfolio in short positions	0.0	True	None
risk_measure	Risk measure used to optimize the portfolio. Possible values are: 'MV' : Variance 'MAD' : Mean Absolute Deviation 'MSV' : Semi Variance (Variance of negative returns) 'FLPM' : First Lower Partial Moment 'SLPM' : Second Lower Partial Moment 'CVaR' : Conditional Value at Risk 'EVaR' : Entropic Value at Risk 'WR' : Worst Realization 'ADD' : Average Drawdown of uncompounded returns 'UCI' : Ulcer Index of uncompounded returns 'CDaR' : Conditional Drawdown at Risk of uncompounded returns 'EDaR' : Entropic Drawdown at Risk of uncompounded returns 'MDD' : Maximum Drawdown of uncompounded returns	MV	True	MV, MAD, MSV, FLPM, SLPM, CVaR, EVaR, WR, ADD, UCI, CDaR, EDaR, MDD
nan_fill_method	Method used to fill nan values in time series, by default time. Possible values are: 'linear': linear interpolation 'time': linear interpolation based on time index 'nearest': use nearest value to replace nan values 'zero': spline of zeroth order 'slinear': spline of first order 'quadratic': spline of second order 'cubic': spline of third order 'barycentric': builds a polynomial that pass for all points	time	True	linear, time, nearest, zero, slinear, quadratic, cubic, barycentric
categories	Show selected categories	ASSET_CLASS, COUNTRY, SECTOR, INDUSTRY	True	None
historic_period	Period to get yfinance data from. Possible frequency strings are: 'd': means days, for example '252d' means 252 days 'w': means weeks, for example '52w' means 52 weeks 'mo': means months, for example '12mo' means 12 months 'y': means years, for example '1y' means 1 year 'ytd': downloads data from beginning of year to today 'max': downloads all data available for each asset	3y	True	1d, 5d, 1mo, 3mo, 6mo, 1y, 2y, 5y, 10y, ytd, max
start_period	Start date to get yfinance data from. Must be in 'YYYY-MM-DD' format		True	None
end_period	End date to get yfinance data from. Must be in 'YYYY-MM-DD' format		True	None
log_returns	If use logarithmic or arithmetic returns to calculate returns	False	True	None
return_frequency	Frequency used to calculate returns. Possible values are: 'd': for daily returns 'w': for weekly returns 'm': for monthly returns	d	True	d, w, m
max_nan	Max percentage of nan values accepted per asset to be considered in the optimization process	0.05	True	None
threshold_value	Value used to replace outliers that are higher to threshold in absolute value	0.3	True	None
risk_free	Risk-free rate of borrowing/lending. The period of the risk-free rate must be annual	0.02924	True	None
significance_level	Significance level of CVaR, EVaR, CDaR and EDaR	0.05	True	None
long_allocation	Amount to allocate to portfolio	1	True	None
name	Save portfolio with personalized or default name	MAXUTIL_0	True	None

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Examples

2022 Apr 05, 13:21 (🦋) /portfolio/po/ $ maxutil

 [3 Years] Display a maximal risk averse utility function
 portfolio using volatility as risk measure

     Weights
┏━━━━━━┳━━━━━━━━━┓
┃      ┃ Value   ┃
┡━━━━━━╇━━━━━━━━━┩
│ AAPL │  0.0 %  │
├──────┼─────────┤
│ AMZN │  0.0 %  │
├──────┼─────────┤
│ BA   │  0.0 %  │
├──────┼─────────┤
│ FB   │  0.0 %  │
├──────┼─────────┤
│ MSFT │  0.0 %  │
├──────┼─────────┤
│ T    │  0.0 %  │
├──────┼─────────┤
│ TSLA │ 100.0 % │
└──────┴─────────┘

Annual (by 252) expected return: 124.85%
Annual (by √252) volatility: 68.44%
Sharpe ratio: 1.8215

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