QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer Class Reference

Provides an implementation of a portfolio optimizer that maximizes the portfolio Sharpe Ratio. The interval of weights in optimization method can be changed based on the long-short algorithm. The default model uses flat risk free rate and weight for an individual security range from -1 to 1. More...

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

Public Member Functions
	MaximumSharpeRatioPortfolioOptimizer (double lower=-1, double upper=1, double riskFreeRate=0.0)
	Initialize a new instance of MaximumSharpeRatioPortfolioOptimizer More...
double[]	Optimize (double[,] historicalReturns, double[] expectedReturns=null, double[,] covariance=null)
	Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns More...

Protected Member Functions
LinearConstraint	GetBudgetConstraint (int size)
	Sum of all weight is one: 1^T w = 1 / Σw = 1 More...
IEnumerable< LinearConstraint >	GetBoundaryConditions (int size)
	Boundary constraints on weights: lw ≤ w ≤ up More...

Detailed Description

Provides an implementation of a portfolio optimizer that maximizes the portfolio Sharpe Ratio. The interval of weights in optimization method can be changed based on the long-short algorithm. The default model uses flat risk free rate and weight for an individual security range from -1 to 1.

Definition at line 28 of file MaximumSharpeRatioPortfolioOptimizer.cs.

Constructor & Destructor Documentation

MaximumSharpeRatioPortfolioOptimizer()

QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer.MaximumSharpeRatioPortfolioOptimizer	(	double	lower = -1,
		double	upper = 1,
		double	riskFreeRate = 0.0
	)

Initialize a new instance of MaximumSharpeRatioPortfolioOptimizer

Parameters

lower	Lower constraint
upper	Upper constraint
riskFreeRate

Definition at line 40 of file MaximumSharpeRatioPortfolioOptimizer.cs.

Member Function Documentation

GetBudgetConstraint()

LinearConstraint QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer.GetBudgetConstraint ( int  size )

protected

Sum of all weight is one: 1^T w = 1 / Σw = 1

Parameters

size	number of variables

Returns

linear constraint object

Definition at line 52 of file MaximumSharpeRatioPortfolioOptimizer.cs.

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GetBoundaryConditions()

IEnumerable<LinearConstraint> QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer.GetBoundaryConditions ( int  size )

protected

Boundary constraints on weights: lw ≤ w ≤ up

Parameters

size	number of variables

Returns

enumeration of linear constraint objects

Definition at line 67 of file MaximumSharpeRatioPortfolioOptimizer.cs.

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Optimize()

double [] QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer.Optimize	(	double	historicalReturns[,],
		double[]	expectedReturns = 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).
expectedReturns	Array of double with the portfolio annualized expected returns (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 93 of file MaximumSharpeRatioPortfolioOptimizer.cs.

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

• Algorithm.Framework/Portfolio/MaximumSharpeRatioPortfolioOptimizer.cs