# 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