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Markowitz portfolio optimization c++ implementation

Cloudy Civet answered on September 12, 2024 Popularity 2/10 Helpfulness 1/10

answer Markowitz portfolio optimization c++ implementation

Markowitz portfolio optimization c++ implementation

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double BasicMarkowitz
( int                                n,
  std::shared_ptr<ndarray<double, 1>> mu,
  std::shared_ptr<ndarray<double, 2>> GT,
  std::shared_ptr<ndarray<double, 1>> x0,
  double                             w,
  double                             gamma)
{
  Model::t M = new Model("Basic Markowitz"); auto _M = finally([&]() { M->dispose(); });
  // Redirect log output from the solver to stdout for debugging.
  // M->setLogHandler([](const std::string & msg) { std::cout << msg << std::flush; } );

  // Defines the variables (holdings). Shortselling is not allowed.
  Variable::t x = M->variable("x", n, Domain::greaterThan(0.0));

  //  Maximize expected return
  M->objective("obj", ObjectiveSense::Maximize, Expr::dot(mu, x));

  // The amount invested  must be identical to intial wealth
  M->constraint("budget", Expr::sum(x), Domain::equalsTo(w + sum(x0)));

  // Imposes a bound on the risk
  M->constraint("risk", Expr::vstack(gamma, Expr::mul(GT, x)), Domain::inQCone());

  // Solves the model.
  M->solve();

  // Check if the solution is an optimal point
  SolutionStatus solsta = M->getPrimalSolutionStatus();
  if (solsta != SolutionStatus::Optimal)
  {
    // See https://docs.mosek.com/latest/cxxfusion/accessing-solution.html about handling solution statuses.
    std::ostringstream oss;
    oss << "Unexpected solution status: " << solsta << std::endl;
    throw SolutionError(oss.str());
  }

  return dot(mu, x->level());
}

Popularity 2/10 Helpfulness 1/10 Language whatever

Source: docs.mosek.com

Tags: c++ implementation optimization portfolio whatever

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Contributed on Sep 12 2024

Cloudy Civet

0 Answers Avg Quality 2/10

Markowitz portfolio optimization c++ implementation

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