QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer Class Reference

Provides an implementation of a risk parity portfolio optimizer that calculate the optimal weights with the weight range from 0 to 1 and equalize the risk carried by each asset More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer:

Public Member Functions
	RiskParityPortfolioOptimizer (double? lower=null, double? upper=null)
	Initialize a new instance of RiskParityPortfolioOptimizer More...
double[]	Optimize (double[,] historicalReturns, double[] budget=null, double[,] covariance=null)
	Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns More...

Protected Member Functions
double[]	RiskParityNewtonMethodOptimization (int numberOfVariables, double[,] covariance, double[] budget, double tolerance=1e-11, int maximumIteration=15000)
	Newton method of minimization More...

Detailed Description

Provides an implementation of a risk parity portfolio optimizer that calculate the optimal weights with the weight range from 0 to 1 and equalize the risk carried by each asset

Definition at line 27 of file RiskParityPortfolioOptimizer.cs.

Constructor & Destructor Documentation

RiskParityPortfolioOptimizer()

QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer.RiskParityPortfolioOptimizer	(	double?	lower = null,
		double?	upper = null
	)

Initialize a new instance of RiskParityPortfolioOptimizer

Parameters

lower	The lower bounds on portfolio weights
upper	The upper bounds on portfolio weights

Definition at line 37 of file RiskParityPortfolioOptimizer.cs.

Member Function Documentation

Optimize()

double [] QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer.Optimize	(	double	historicalReturns[,],
		double[]	budget = null,
		double	covariance[,] = null
	)

Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns

Parameters

historicalReturns	Matrix of annualized historical returns where each column represents a security and each row returns for the given date/time (size: K x N).
budget	Risk budget vector (size: K x 1).
covariance	Multi-dimensional array of double with the portfolio covariance of annualized returns (size: K x K).

Returns

Array of double with the portfolio weights (size: K x 1)

Implements QuantConnect.Algorithm.Framework.Portfolio.IPortfolioOptimizer.

Definition at line 50 of file RiskParityPortfolioOptimizer.cs.

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RiskParityNewtonMethodOptimization()

double [] QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer.RiskParityNewtonMethodOptimization ( int  numberOfVariables, double  covariance[,], double[]  budget, double  tolerance = 1e-11, int  maximumIteration = 15000  )

protected

Newton method of minimization

Parameters

numberOfVariables	The number of variables (size of weight vector).
covariance	Covariance matrix (size: K x K).
budget	The risk budget (size: K x 1).
tolerance	Tolerance level of objective difference with previous steps to accept minimization result.
maximumIteration	Maximum iteration per optimization.

Returns

Array of double of argumented minimization

Definition at line 79 of file RiskParityPortfolioOptimizer.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Portfolio/RiskParityPortfolioOptimizer.cs