public ActionResult Optimize(int id, int minimumRateOfReturn = 0, string date = "")
{
Portfolio portfolio = db.Portfolios.Include("Assets.Prices").Where(p => p.ID == id).FirstOrDefault();
List<Double> variances = new List<double>();
DateTime startDate;
if (date == "")
startDate = portfolio.DefaultStartDate;
else
startDate = DateTime.Parse(date);
PortfolioQuadraticOptimizationService service = new PortfolioQuadraticOptimizationService();
OptimizationData inputData = new OptimizationData();
inputData.MinimumReturn = minimumRateOfReturn;
inputData.Step = 0.0001;
List<AssetData> assetData = new List<AssetData>();
List<Asset> assets = portfolio.Assets.ToList();
double[,] covarianceMatrix = new double[assets.Count, assets.Count];
double[,] correlationMatrix = new double[assets.Count, assets.Count];
bool meanRateMethodIsSimple = portfolio.isSimple;
startDate = portfolio.DefaultStartDate;
for (int i = 0; i < assets.Count; i++)
{
for (int j = 0; j < assets.Count; j++)
{
List<AssetPrice> prices_i = assets[i].Prices.Where(p => p.Date >= startDate.AddDays(1)).ToList();
List<AssetPrice> prices_j = assets[j].Prices.Where(p => p.Date >= startDate.AddDays(1)).ToList();
double covariance = calculateCovariance(prices_i, assets[i].DailyMeanRate, prices_j, assets[j].DailyMeanRate, meanRateMethodIsSimple);
covarianceMatrix[i, j] = covariance;
}
}
foreach (Asset a in portfolio.Assets)
{
var aPrices = a.Prices.Where(x => x.Date >= startDate).ToList();
var covariances = new Dictionary<string, double>();
foreach (Asset a2 in portfolio.Assets)
{
var a2Prices = a2.Prices.Where(x => x.Date >= startDate).ToList();
var aExpectedVal = a.DailyMeanRate;
var a2ExpecteVal = a2.DailyMeanRate;
covariances.Add(a2.Symbol, calculateCovariance(aPrices, aExpectedVal, a2Prices, a2ExpecteVal, true));
}
assetData.Add(new AssetData
{
Symbol = a.Symbol,
MeanReturnRate = a.AnnualizedMeanRate,
Covariances = covariances
});
variances.Add(a.AnnualizedVariance);
}
inputData.Stocks = assetData;
//OptimizationResult result = service.OptimizePortfolioAllocation(inputData);
var request = WebRequest.Create("http://optimization.andrewgaspar.com/api/optimize");
request.ContentType = "application/json";
request.Method = "POST";
StreamWriter writer = new StreamWriter(request.GetRequestStream());
string json = JsonConvert.SerializeObject(inputData);
writer.Write(json);
writer.Close();
OptimizationResult result = new OptimizationResult();
try
{
using (var response = request.GetResponse())
{
request.GetRequestStream().Close();
if (response != null)
{
using (var answerReader = new StreamReader(response.GetResponseStream()))
{
var readString = answerReader.ReadToEnd();
result = JsonConvert.DeserializeObject<OptimizationResult>(readString);
}
}
}
}
catch (WebException e)
{
return RedirectToAction("Index");
}
var request2 = WebRequest.Create("http://optimization.andrewgaspar.com/api/frontier");
request2.ContentType = "application/json";
request2.Method = "POST";
writer = new StreamWriter(request2.GetRequestStream());
json = JsonConvert.SerializeObject(inputData);
writer.Write(json);
writer.Close();
OptimizationResult[] efficientFrontier = null;
try
{
using (var response = request2.GetResponse())
{
request2.GetRequestStream().Close();
if (response != null)
{
using (var answerReader = new StreamReader(response.GetResponseStream()))
{
var readString = answerReader.ReadToEnd();
efficientFrontier = JsonConvert.DeserializeObject<OptimizationResult[]>(readString);
}
}
}
}
catch (WebException e)
{
efficientFrontier = new OptimizationResult[0];
}
foreach (var solution in efficientFrontier)
{
double portfolioVariance = 0;
for (int i = 0; i < solution.Results.Count; i++)
{
for (int j = 0; j < solution.Results.Count; j++)
{
portfolioVariance += solution.Results.ElementAt(i).Allocation * solution.Results.ElementAt(j).Allocation * covarianceMatrix[i, j];
}
}
solution.StandardDeviation = Math.Sqrt(portfolioVariance * 252);
}
ViewBag.Results = result.Results.ToDictionary(r => r.Symbol, r => r.Allocation);
ViewBag.Feasible = result.Feasible;
ViewBag.Optimal = result.Optimal;
ViewBag.ExpectedRateOfReturn = result.ExpectedReturn;
ViewBag.EfficientFrontier = efficientFrontier;
return View();
}
public OptimizationResult OptimizePortfolioAllocation(OptimizationData data)
{
int assetCount = data.Stocks.Count;
InteriorPointSolver solver = new InteriorPointSolver();
int[] allocations = new int[assetCount];
for (int i = 0; i < assetCount; i++)
{
solver.AddVariable(data.Stocks[i].Symbol, out allocations[i]);
if (data.Stocks[i].Symbol == "SPY")
solver.SetBounds(allocations[i], 0, 0);
else
solver.SetBounds(allocations[i], 0, 1);
}
int expectedRateOfReturn;
solver.AddRow("expectedRateOfReturn", out expectedRateOfReturn);
solver.SetBounds(expectedRateOfReturn, data.MinimumReturn, double.PositiveInfinity);
int unity;
solver.AddRow("Investments sum to one", out unity);
solver.SetBounds(unity, 1, 1);
for (int i = 0; i < assetCount; i++)
{
solver.SetCoefficient(expectedRateOfReturn, allocations[i], data.Stocks[i].MeanReturnRate);
solver.SetCoefficient(unity, allocations[i], 1);
}
int variance;
solver.AddRow("variance", out variance);
for (int i = 0; i < assetCount; i++)
{
for (int j = 0; j < assetCount; j++)
{
solver.SetCoefficient(variance, data.Stocks[i].Covariances[data.Stocks[j].Symbol], allocations[i], allocations[j]);
}
}
solver.AddGoal(variance, 0, true);
InteriorPointSolverParams lpParams = new InteriorPointSolverParams();
solver.Solve(lpParams);
bool optimal = false;
bool feasible = false;
if (solver.Result == LinearResult.Optimal)
{
optimal = feasible = true;
}
else if (solver.Result == LinearResult.Feasible)
{
optimal = false;
feasible = true;
}
List<AssetResult> assetResults = new List<AssetResult>();
for (int i = 0; i < assetCount; i++)
{
assetResults.Add(new AssetResult
{
Symbol = data.Stocks[i].Symbol,
Allocation = (double)solver.GetValue(allocations[i])
});
}
OptimizationResult result = new OptimizationResult
{
Optimal = optimal,
Feasible = feasible,
ExpectedReturn = (double)solver.GetValue(expectedRateOfReturn),
Results = assetResults
};
return result;
}