/// <summary>
/// Initialize the model
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="lookback">Historical return lookback period</param>
/// <param name="period">The time interval of history price to calculate the weight</param>
/// <param name="resolution">The resolution of the history price</param>
/// <param name="targetReturn">The target portfolio return</param>
/// <param name="optimizer">The portfolio optimization algorithm. If the algorithm is not provided then the default will be mean-variance optimization.</param>
public MeanVarianceOptimizationPortfolioConstructionModel(IDateRule rebalancingDateRules,
int lookback = 1,
int period = 63,
Resolution resolution = Resolution.Daily,
double targetReturn = 0.02,
IPortfolioOptimizer optimizer = null)
: this(rebalancingDateRules.ToFunc(), lookback, period, resolution, targetReturn, optimizer)
{
}
/// <summary>
/// Initialize the model
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="lookback">Historical return lookback period</param>
/// <param name="period">The time interval of history price to calculate the weight</param>
/// <param name="resolution">The resolution of the history price</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="delta">The risk aversion coeffficient of the market portfolio</param>
/// <param name="tau">The model parameter indicating the uncertainty of the CAPM prior</param>
/// <param name="optimizer">The portfolio optimization algorithm. If no algorithm is explicitly provided then the default will be max Sharpe ratio optimization.</param>
public BlackLittermanOptimizationPortfolioConstructionModel(IDateRule rebalancingDateRules,
int lookback = 1,
int period = 63,
Resolution resolution = Resolution.Daily,
double riskFreeRate = 0.0,
double delta = 2.5,
double tau = 0.05,
IPortfolioOptimizer optimizer = null)
: this(rebalancingDateRules.ToFunc(), lookback, period, resolution, riskFreeRate, delta, tau, optimizer)
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
public EqualWeightingPortfolioConstructionModel(IDateRule rebalancingDateRules)
: this(rebalancingDateRules.ToFunc())
{
}
/// <summary>
/// Initialize a new instance of <see cref="SectorWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
public SectorWeightingPortfolioConstructionModel(IDateRule rebalancingDateRules)
: base(rebalancingDateRules.ToFunc())
{
}
public TestPortfolioConstructionModel(IDateRule dateRule)
: this(dateRule.ToFunc())
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this(rebalancingDateRules.ToFunc(), portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="AccumulativeInsightPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="percent">The percentage amount of the portfolio value to allocate
/// to a single insight. The value of percent should be in the range [0,1].
/// The default value is 0.03.</param>
public AccumulativeInsightPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
double percent = 0.03)
: this(rebalancingDateRules.ToFunc(), portfolioBias, percent)
{
}
