public static void Run()
{
List<Position> list = new List<Position>();
/*
list.Add(new Position());
list.Add(new Position("bond"));
list.Add(new Position("stock"));
* */
Portfolio p = new Portfolio();
double[] returns = {0.000, 0.13, -0.13};
DenseVector returns1 = new DenseVector(returns);
double[] stdev = {0, 7.4, 7.4};
double[,] covariance = {{1, -.4, -.45}, {-.4, 1, .35}, {-0.45, 0.35, 1}};
DenseMatrix covariance1 = StatisticsExtension.CorrelationToCovariance(new DenseMatrix(covariance),
new DenseVector(stdev));
PortfolioOptimizer po = new PortfolioOptimizer(p, .09002, covariance1, returns1);
po.BuildRiskModel();
Console.ReadLine();
}
public PortfolioOptimizer(Portfolio p, double minReturn, DenseMatrix cov, DenseVector returns)
{
portfolio = p;
this.returns = returns;
covariance = cov;
this.minReturn = minReturn;
resultWeights = new DenseVector(returns.Count);
}
public AccountManager()
{
_portfolio = new Portfolio();
_flags = new List<HighstockFlag>();
_outStandingStopOrders = new Dictionary<Symbol, StopOrder>();
_outStandingLimitOrders = new Dictionary<Symbol, LimitOrder>();
_tradeProfits = new List<double>();
_performance = new BacktestPerformance();
currentOffers = new Dictionary<Symbol, Tick>();
}