QuantConnect.Algorithm.Framework.Portfolio.MinimumVariancePortfolioOptimizer Class Reference

Provides an implementation of a minimum variance portfolio optimizer that calculate the optimal weights with the weight range from -1 to 1 and minimize the portfolio variance with a target return of 2% More...

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

Public Member Functions
	MinimumVariancePortfolioOptimizer (double lower=-1, double upper=1, double targetReturn=0.02)
	Initialize a new instance of MinimumVariancePortfolioOptimizer 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 minimum variance portfolio optimizer that calculate the optimal weights with the weight range from -1 to 1 and minimize the portfolio variance with a target return of 2%

The budged constrain is scaled down/up to ensure that the sum of the absolute value of the weights is 1.

Definition at line 29 of file MinimumVariancePortfolioOptimizer.cs.

Constructor & Destructor Documentation

MinimumVariancePortfolioOptimizer()

QuantConnect.Algorithm.Framework.Portfolio.MinimumVariancePortfolioOptimizer.MinimumVariancePortfolioOptimizer	(	double	lower = -1,
		double	upper = 1,
		double	targetReturn = 0.02
	)

Initialize a new instance of MinimumVariancePortfolioOptimizer

Parameters

lower	Lower bound
upper	Upper bound
targetReturn	Target return

Definition at line 41 of file MinimumVariancePortfolioOptimizer.cs.

Member Function Documentation

GetBudgetConstraint()

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

protected

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

Parameters

size	number of variables

Returns

linear constaraint object

Definition at line 53 of file MinimumVariancePortfolioOptimizer.cs.

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GetBoundaryConditions()

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

protected

Boundary constraints on weights: lw ≤ w ≤ up

Parameters

size	number of variables

Returns

enumeration of linear constaraint objects

Definition at line 68 of file MinimumVariancePortfolioOptimizer.cs.

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Optimize()

double [] QuantConnect.Algorithm.Framework.Portfolio.MinimumVariancePortfolioOptimizer.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 94 of file MinimumVariancePortfolioOptimizer.cs.

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

• Algorithm.Framework/Portfolio/MinimumVariancePortfolioOptimizer.cs