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personal:portfolio:portopt [2014/05/28 14:55] antonello [Acknowledgements] |
personal:portfolio:portopt [2015/03/30 14:20] antonello [Theorical Background] |
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\end{equation} | \end{equation} | ||
- | where $x_i$ is the share of the asset $i$, $p_i$ is its productivity and hence $\sum_i {x_i p_i}$ is the overall portfolio productivity and $\sum_i { \sum_j { x_i x_j \sigma_{i, | + | where $x_i$ is the share of the asset $i$, $p_i$ is its productivity, $\sigma_{i, |
As the only quadratic term arises when $i=j$ and $\sigma_{i, | As the only quadratic term arises when $i=j$ and $\sigma_{i, | ||
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Call: | Call: | ||
- | double solveport (const vector< vector < | + | double solveport (const vector< vector < |
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- | == As a lib ising Python: == | + | == As a lib using Python: == |
import portopt | import portopt | ||
- | results = portopt.solveport(var, | + | results = portopt.solveport(var, |
+ | functioncost = results[0] | ||
+ | shares | ||
+ | errorcode | ||
+ | errormessage = results[3] | ||
=== Options === | === Options === | ||
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-a --alpha [alpha_coefficient] | -a --alpha [alpha_coefficient] | ||
-f --field-delimiter [field_delimiter] | -f --field-delimiter [field_delimiter] | ||
- | -s --decimal-separator [decimal-separator] | + | -s --decimal-separator [decimal-separator] |
+ | -t --tollerance [tolerance] | ||
</ | </ | ||
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* Higher the alpha, lower the agent risk aversion; | * Higher the alpha, lower the agent risk aversion; | ||
* Set a negative alpha to retrieve the portfolio with the lowest possible variance; | * Set a negative alpha to retrieve the portfolio with the lowest possible variance; | ||
- | * Set alpha to zero to retrieve the portfolio with the highest mean, indipendently | + | * Set alpha to zero to retrieve the portfolio with the highest mean, independently |
- | * Assets shares are returned in the x_h vector, eventual error code (0: all fine, 1: input data error, 2: problem has no solutions, 3: internal | + | * Assets shares are returned in the x_h vector, eventual error code (0: all fine, 1: input data error, 2: no solutions, 3: didn't solve, 4: solver |
+ | * Use option " | ||
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