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