public void EfficientFrontierPerformanceTest()
{
// Create new portfolio
var portf = new Portfolio("TestPortfolio");
// Create instruments from data
var instruments = from k in cov.Keys
select new Instrument(k, mean[k], cov[k]);
portf.AddRange(instruments);
// Add portfolio constraints
portf.AddAllInvestedConstraint();
portf.AddLongOnlyConstraint();
double rf = 0.05;
int runs = 100;
for (int c = 0; c < runs; c++)
{
PerformanceLogger.Start("EfficientFrontierTests", "EfficientFrontierPerformanceTest", "Optimization.CalcEfficientFrontier");
var res = PortfolioOptimizer.CalcEfficientFrontier(portf, rf, 50);
Console.WriteLine(c);
PerformanceLogger.Stop("EfficientFrontierTests", "EfficientFrontierPerformanceTest", "Optimization.CalcEfficientFrontier");
}
PerformanceLogger.WriteToCSV("performancedata.csv");
}
