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

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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
IEnumerable<Instrument>	universe	instrument universe
Func<Instrument, double>	meanFunc	instrument mean vector
Func<Instrument, Instrument, double>	covarianceFunc	instrument covariance matrix
Func<Instrument, double>	lowerBoundFunc	portfolio lower bound vector
Func<Instrument, double>	upperBoundFunc	portfolio upper bound vector

Methods

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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
IEnumerable<PortfolioSupport.MarkowitzCLA.Portfolio>	portfolios at each point

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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

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MaximumSharpeRatio()

Return portfolio w/ maximum sharpe ratio.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio MaximumSharpeRatio()

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

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MinimumVariance()

Return portfolio w/ minimum variance.

Declaration

public PortfolioSupport.MarkowitzCLA.Portfolio MinimumVariance()

Returns

Type	Description
PortfolioSupport.MarkowitzCLA.Portfolio	portfolio

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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

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TurningPoints()

Return all turning points for efficient frontier.

Declaration

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

Returns

Type	Description
IEnumerable<PortfolioSupport.MarkowitzCLA.Portfolio>	enumerable of portfolios