private void Test()
{
var secs = FileReaders.ReadSecurities(@"C:\A\Experiments\Exp\securities.csv");
var covs = FileReaders.ReadCorrelations(@"C:\A\Experiments\Exp\correlations.csv", secs);
var matrix = Portfolios.ComputeCovariances(covs);
using (new ReportTime())
{
Dictionary <Security, double> weights;
var variance = Portfolios.ComputePortfolioMinimumVariance(matrix, 9d, out weights, true);
Console.WriteLine(weights.Aggregate("Weights:" + Environment.NewLine,
(str, pair) => str + (Environment.NewLine + pair.Key.Symbol + "," + pair.Value)));
Console.WriteLine("Variance: " + variance);
}
}
public void TestVarianceMatrix()
{
var secs = FileReaders.ReadSecurities(@"securities.csv");
var covs = FileReaders.ReadCorrelations(@"correlations.csv", secs);
using (ReportTime.Start())
{
Dictionary <Security, double> weights;
var expectedReturn = 9d;
var matrix = Portfolios.ComputeCovariances(covs);
var variance = Portfolios.ComputePortfolioMinimumVariance(matrix, expectedReturn, out weights);
Console.WriteLine(weights.Aggregate("Weights:" + Environment.NewLine,
(str, pair) => str + (Environment.NewLine + pair.Key.Symbol + "," + pair.Value)));
Console.WriteLine("ExpectedReturn: " + expectedReturn);
Console.WriteLine("Variance: " + variance);
Console.WriteLine("Sharpe: " + expectedReturn / Math.Sqrt(variance));
}
}
