Custom portfolio benchmark

[jankrepl]

It would be nice to have a benchmark that is just some predefined portfolio. One would construct it by passing all the weights.

[diegolovison]

Hi,

Generating synthetic data is harder.

In this case:

1. Could you please upload the daily returns or give me 100 stocks that I can download from yahoo finance or can I pick 100 random stocks from sp500_mean.csv ?

2. The issue has the content benchmark that is just some predefined portfolio? Can I upload a benchmark example that will generate weights "from the optional rebalance count"?

[jankrepl]

Hey there!

I think what I meant here was that it would be nice to create a new Benchmark subclass (see deepdow/benchmarks.py) that would accept a fixed w of shape (n_assets, ) representing predefined weights. The __call__ method would just return it independently of x.

The actual choice of w would be completely up to the user. I hope that makes sense:)

[diegolovison]

What I wish to do it is not related to that. Thanks for the clarification.

[guillermop98]

Hey @jankrepl, have you been able to get more into to this type of predefined portfolio benchmark?