IPortfolioOptimizer
Interface for portfolio optimization algorithms
optimize(
historical_returns: List[float],
expected_returns: List[float] = None,
covariance: List[float] = None,
) -> List[float]
Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
historical_returns
|
List[float]
|
Matrix of annualized historical returns where each column represents a security and each row returns for the given date/time (size: K x N). |
required |
expected_returns
|
List[float]
|
Array of double with the portfolio annualized expected returns (size: K x 1). |
None
|
covariance
|
List[float]
|
Multi-dimensional array of double with the portfolio covariance of annualized returns (size: K x K). |
None
|
Returns:
| Type | Description |
|---|---|
List[float]
|
Array of double with the portfolio weights (size: K x 1). |