class xf::fintech::portfolio_optimisation¶
#include "xf_fintech_po.hpp"
Overview¶
This class implements the Portfolio Optimisation Model.
class portfolio_optimisation: public xf::fintech::OCLController
Inherited Members¶
Methods¶
run¶
int run ( float* prices, int num_prices, int num_assets, float riskFreeRate, float targetReturn, std::vector <float>& GMVPWeights, float* GMVPVariance, float* GMVPReturn, std::vector <float>& EffWeights, float* EffVariance, float* EffReturn, std::vector <float>& TanWeights, float* TanVariance, float* TanReturn, float* TanSharpe, std::vector <float>& EffTanWeights, float* EffTanVariance, float* EffTanReturn )
Calculate Weights, Expected Portfolio Return and Variance for Global Minimum Variance Portfolio, Tangency Portfolio, Efficient Portfolio and Efficient Portfolio with risky and risk free assets
Parameters:
inputDataFile | filename of the file containing the asset prices |
riskFreeRate | the risk free rate |
targetReturn | the target return |
GMVPWeights | the asset weights for the Global Minimum Variance Portfolio |
GMVPVariance | the portfolio variance for the Global Minimum Variance Portfolio |
GMVPReturn | the portfolio expected return for the Global Minimum Varaince Portfolio |
EffWeights | the asset weights for the efficient portfolio with target return |
EffVariance | the portfolio variance for the efficient portfolio with target return |
EffReturn | the portfolio expected for the efficient portfolio with target return |
TanWeights | the asset weights for the Tangency Portfolio with risk free rate |
TanVariance | the portfolio variance for the Tangency Portfolio with risk free rate |
TanReturn | the portfolio expected return for the Tangency Portfolio with risk free rate |
TanSharpe | the Sharpe Ratio for the Tangency Portfolio with risk free rate |
EffTanWeights | the asset weights for the Tangency Portfolio with risk free rate and target return |
EffTanVariance | the portfolio variance for the Tangency Portfolio with risk free rate and target return |
EffTanReturn | the portfolio expected return for the Tangency Portfolio with risk free rate and target return |