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QuantConnect.Algorithm.Framework.Portfolio.IPortfolioOptimizer Interface Reference

Interface for portfolio optimization algorithms More...

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

Interface for portfolio optimization algorithms

Definition at line 21 of file IPortfolioOptimizer.cs.

Member Function Documentation

◆ Optimize()

double [] QuantConnect.Algorithm.Framework.Portfolio.IPortfolioOptimizer.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
historicalReturnsMatrix of annualized historical returns where each column represents a security and each row returns for the given date/time (size: K x N).
expectedReturnsArray of double with the portfolio annualized expected returns (size: K x 1).
covarianceMulti-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)

Implemented in QuantConnect.Algorithm.Framework.Portfolio.MinimumVariancePortfolioOptimizer, QuantConnect.Algorithm.Framework.Portfolio.MaximumSharpeRatioPortfolioOptimizer, QuantConnect.Algorithm.Framework.Portfolio.PortfolioOptimizerPythonWrapper, QuantConnect.Algorithm.Framework.Portfolio.UnconstrainedMeanVariancePortfolioOptimizer, and QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioOptimizer.

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