Class PortfolioSupport.MarkowitzCLA

Class encapsulating Markowitz CLA algorithm to calculate the the efficient frontier.

Inheritance

object

PortfolioSupport.MarkowitzCLA

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Support

Assembly: TuringTrader.Simulator.dll

Syntax

public class PortfolioSupport.MarkowitzCLA

Constructors

MarkowitzCLA(IEnumerable<Instrument>, Func<Instrument, double>, Func<Instrument, Instrument, double>, Func<Instrument, double>, Func<Instrument, double>)

Create new CLA object.

Declaration

public MarkowitzCLA(IEnumerable<Instrument> universe, Func<Instrument, double> meanFunc, Func<Instrument, Instrument, double> covarianceFunc, Func<Instrument, double> lowerBoundFunc, Func<Instrument, double> upperBoundFunc)

Parameters

Type	Name	Description
System.Collections.Generic.IEnumerable<T><Instrument>	universe	instrument universe
System.Func<T, TResult><Instrument, double>	meanFunc	instrument mean vector
System.Func<T1, T2, TResult><Instrument, Instrument, double>	covarianceFunc	instrument covariance matrix
System.Func<T, TResult><Instrument, double>	lowerBoundFunc	portfolio lower bound vector
System.Func<T, TResult><Instrument, double>	upperBoundFunc	portfolio upper bound vector

Methods

EfficientFrontier(int)

Return efficient frontier, w/ specified # of points

Declaration

public IEnumerable<PortfolioSupport.MarkowitzCLA.Portfolio> EfficientFrontier(int points = 100)

Parameters

Type	Name	Description
int	points	number of points

Returns

Type	Description
System.Collections.Generic.IEnumerable<T><PortfolioSupport.MarkowitzCLA.Portfolio>	portfolios at each point

EvalPositions(double)

Evaluate the current positions.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio EvalPositions(double netAssetValue)

Parameters

Type	Name	Description
double	netAssetValue	current net asset value

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

MaximumSharpeRatio()

Return portfolio w/ maximum sharpe ratio.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio MaximumSharpeRatio()

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

MinimumVariance()

Return portfolio w/ minimum variance.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio MinimumVariance()

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

TargetVolatility(double)

Return portfolio with the specified risk (or less). Note that the weights of this portfolio might not add up to 1.0: This routine will return a portfolio on the capital allocation line, if the target risk is lower than the risk of the portfolio with the maximum Sharpe Ratio.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio TargetVolatility(double targetRisk)

Parameters

Type	Name	Description
double	targetRisk	risk setting

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

TurningPoints()

Return all turning points for efficient frontier.

Declaration

public IEnumerable<PortfolioSupport.MarkowitzCLA.Portfolio> TurningPoints()

Returns

Type	Description
System.Collections.Generic.IEnumerable<T><PortfolioSupport.MarkowitzCLA.Portfolio>	enumerable of portfolios