MaximumSharpeRatioPortfolioOptimizer
MaximumSharpeRatioPortfolioOptimizer(
lower: float = -1,
upper: float = 1,
risk_free_rate: float = 0.0,
)
Bases: Object, IPortfolioOptimizer
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.
Initialize a new instance of MaximumSharpeRatioPortfolioOptimizer
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
lower
|
float
|
Lower constraint |
-1
|
upper
|
float
|
Upper constraint |
1
|
risk_free_rate
|
float
|
|
0.0
|
get_boundary_conditions(
size: int,
) -> Iterable[LinearConstraint]
Boundary constraints on weights: lw ≤ w ≤ up
This codeEntityType is protected.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
size
|
int
|
number of variables |
required |
Returns:
| Type | Description |
|---|---|
Iterable[LinearConstraint]
|
enumeration of linear constraint objects. |
get_budget_constraint(size: int) -> Any
Sum of all weight is one: 1^T w = 1 / Σw = 1
This codeEntityType is protected.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
size
|
int
|
number of variables |
required |
Returns:
| Type | Description |
|---|---|
Any
|
linear constraint object. |
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). |