Class PortfolioSupport.MarkowitzCLA.Portfolio

Container to hold Markowitz Portfolio

Inheritance
object
PortfolioSupport.MarkowitzCLA.Portfolio
Inherited Members
Namespace: TuringTrader.Support
Assembly: TuringTrader.Simulator.dll
Syntax
public class PortfolioSupport.MarkowitzCLA.Portfolio

Fields

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IsValid

Weights meeting constraints

Declaration
public bool IsValid
Field Value
Type Description
bool
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Return

Portfolio return (mu)

Declaration
public double Return
Field Value
Type Description
double
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Risk

Portfolio risk (sigma)

Declaration
public double Risk
Field Value
Type Description
double
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Weights

Instrument weights

Declaration
public Dictionary<Instrument, double> Weights
Field Value
Type Description
Dictionary<Instrument, double>

Methods

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ToString()

Convert portfolio to human-readable string.

Declaration
public override string ToString()
Returns
Type Description
string

portfolio string
Overrides