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personal:portfolio:portopt [2015/09/10 15:19] antonello [Compilation (not needed if using a pre-compiled version)] |
personal:portfolio:portopt [2018/06/18 15:11] (current) |
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In portfolio theory agents attempts to maximise portfolio expected return for a given amount of portfolio risk, or equivalently to minimise risk for a given level of expected return. | In portfolio theory agents attempts to maximise portfolio expected return for a given amount of portfolio risk, or equivalently to minimise risk for a given level of expected return. | ||
- | {{ : | + | {{ : |
The portfolio management can be portrayed graphically as in the above Figure, where the feasible set of variance-profitability combinations in enclosed by the blue curve and the B-D segment represents the efficient frontier, where no variance can be lowered at productivity' | The portfolio management can be portrayed graphically as in the above Figure, where the feasible set of variance-profitability combinations in enclosed by the blue curve and the B-D segment represents the efficient frontier, where no variance can be lowered at productivity' | ||
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===== Usage ===== | ===== Usage ===== | ||
+ | |||
+ | :!: Please notice that the API changed from version 1.1, with the introduction of the '' | ||
+ | |||
+ | |||
== Linux == | == Linux == | ||
./portopt [options] | ./portopt [options] | ||
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Call: | Call: | ||
- | double solveport (const vector< vector < | + | double solveport (const vector< vector < |
| | ||
== As a lib using Python: == | == As a lib using Python: == | ||
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errorcode | errorcode | ||
errormessage = results[3] | errormessage = results[3] | ||
+ | opt_mean | ||
+ | opt_var | ||
=== Options === | === Options === | ||
< | < | ||
- | -h --help | + | -h --help |
-v --var-file [input_var_file_name] | -v --var-file [input_var_file_name] | ||
-m --means-file [input_means_file_name] | -m --means-file [input_means_file_name] | ||
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You should have received a copy of the GNU Lesser General Public License along with PortOpt. | You should have received a copy of the GNU Lesser General Public License along with PortOpt. | ||
+ | |||
+ | ===== Citations ===== | ||
+ | If you use this program or a derivative of it in an academic framework, please cite it!\\ | ||
+ | Please cite as: | ||
+ | * A. Dragicevic, A. Lobianco, | ||
===== Acknowledgements ===== | ===== Acknowledgements ===== |