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 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();
}
