Commit Graph

1 Commits

Author SHA1 Message Date
AlexCatarino 9c99794bfb Adds covariance parameter in IPortfolioOptimizer.Optimize
Add a multi-dimensional array of double representing the covariance. Some models, e.g., Black-Litterman may want to optimize a covariance that is different from the historical one.

Adds UnconstrainedMeanVariancePortfolioOptimizer: a simple optimizer that has a solution, therefore no numerical optimization method is required.
2018-08-20 20:51:02 +01:00