public void AddAllInvestedConstraint()
{
var universe = from instrument in this
select instrument.ID;
Constraints.Add(LinearConstraint.Create(universe, Relational.Equal, 1));
}
private void setTargetReturnConstraints(double targetReturn)
{
// Sum of all weighted returns should be equal to the target return
var instList = from mr in _samplePortfolio
select new KeyValuePair <string, double>(mr.ID, mr.Mean);
_samplePortfolio.Constraints.Add(LinearConstraint.Create(instList.ToDictionary(a => a.Key, b => b.Value), Relational.Equal, targetReturn));
}
public void AddLongOnlyConstraint()
{
foreach (var instrument in this)
{
// No short positions allowed -> min = 0
Constraints.Add(LinearConstraint.Create(instrument.ID, Relational.Larger, 0));
}
}
public void AddBoxConstraints(HashSet <string> assets, double lowerlimit, double upperlimit)
{
// check if asset in portfolio
foreach (var asset in assets)
{
Constraints.Add(LinearConstraint.Create(asset, Relational.Smaller, upperlimit));
Constraints.Add(LinearConstraint.Create(asset, Relational.Larger, lowerlimit));
}
}
public void AddGroupConstraints(HashSet <string> assets, double lowerlimit, double upperlimit)
{
Constraints.Add(LinearConstraint.Create(assets, Relational.Smaller, upperlimit));
Constraints.Add(LinearConstraint.Create(assets, Relational.Larger, lowerlimit));
}
public void AddBoxConstraint(string asset, double lowerlimit, double upperlimit)
{
// check if asset in portfolio
Constraints.Add(LinearConstraint.Create(asset, Relational.Smaller, upperlimit));
Constraints.Add(LinearConstraint.Create(asset, Relational.Larger, lowerlimit));
}
