/*
* public static double NetExpectedReturn(MarketData state, double expectedReturn, RebalancingCosts rebalancingCosts)
* {
* double transactionCost = rebalancingCosts.TotalRebalancingCostInPercentage(state);
* if (transactionCost >= 0.01)
* {
* //Console.WriteLine("transaction cost: {0}", transactionCost);
* }
* return expectedReturn - transactionCost - (expectedReturn * transactionCost);
* }
*/
public static double ExpectedReturn(MarketData state, double[] currentStocksallocation, double[] newStocksAllocation, RebalancingCosts rebalancingCosts)
{
var oldPortfolioValue = state.StocksValue(currentStocksallocation);
var stocksValue = VectorOp.DotProduct(newStocksAllocation, state.AvgPrices);
var newValue = VectorOp.DotProduct(stocksValue, VectorOp.Addition(state.ExpectedReturns, 1.0)).Sum();
var expectedReturn = ((newValue + rebalancingCosts.SharesBuySell) / oldPortfolioValue - 1);
//return NetExpectedReturn(state, expectedReturn, rebalancingCosts);
return(expectedReturn);
}
public static ValuationResult ValuePortfolio(MarketData state, double[] currentStocksAllocation, double[] newStocksAllocation)
{
var valueAllocation = VectorOp.DotProduct(newStocksAllocation, state.AvgPrices);
var weights = VectorOp.normalize(valueAllocation);
double[,] xsMatrix = MatrixOp.matrixFromRow(weights);
RebalancingCosts rebalancingCost = CostForNewStocksAllocation(state, currentStocksAllocation, newStocksAllocation);
double netExpectedReturn = ExpectedReturn(state, currentStocksAllocation, newStocksAllocation, rebalancingCost);
double stdDev =
Math.Sqrt(
MatrixOp.mmult(MatrixOp.mmult(xsMatrix, state.Omega), MatrixOp.transpose(xsMatrix))[0, 0]
);
return(new ValuationResult
{
StocksAllocation = newStocksAllocation,
ExpectedReturn = netExpectedReturn,
StdDev = stdDev,
RebalancingCost = rebalancingCost,
});
}