QuantConnect.Algorithm.Framework.Portfolio.UnconstrainedMeanVariancePortfolioOptimizer Class Reference

Provides an implementation of a portfolio optimizer with unconstrained mean variance. More...

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

Public Member Functions
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...

Detailed Description

Provides an implementation of a portfolio optimizer with unconstrained mean variance.

Definition at line 24 of file UnconstrainedMeanVariancePortfolioOptimizer.cs.

Member Function Documentation

Optimize()

double [] QuantConnect.Algorithm.Framework.Portfolio.UnconstrainedMeanVariancePortfolioOptimizer.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 33 of file UnconstrainedMeanVariancePortfolioOptimizer.cs.

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

• Algorithm.Framework/Portfolio/UnconstrainedMeanVariancePortfolioOptimizer.cs