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Fix MaximumSharpeRatioPortfolioOptimizer to maximize the Sharpe ratio (#9560)
frostbyte_neo 发布于
2026-06-25 17:20:48 +00:00 | 58 次提交 在此版本后已推送到 master- Fix MaximumSharpeRatioPortfolioOptimizer to maximize the Sharpe ratio
The optimizer fixed the portfolio return to the equal-weight return
((µ − r_f)ᵀw = k) and minimized variance, which collapsed it to a
minimum-variance optimizer instead of maximizing the Sharpe ratio.Python now maximizes (µ − r_f)ᵀw / √(wᵀΣw) directly with SLSQP, keeping
the budget constraint Σw = 1 and the per-weight bounds. C# applies the
Charnes-Cooper substitution y = κw, minimizing yᵀΣy subject to
(µ − r_f)ᵀy = 1 and recovering w = y / (1ᵀy); the per-weight bounds are
written as linear constraints in y (yᵢ − up·(1ᵀy) ≤ 0, yᵢ − lw·(1ᵀy) ≥ 0)
so the problem stays a convex QP and the [lower, upper] range is honored.Both languages reach the same optimum, and the unit-test expectations are
updated to the corrected weights.Addresses QuantConnect/Lean#9322
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Add property-based test that the optimizer maximizes the Sharpe ratio
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Cover all well-defined cases in the Sharpe optimality test
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Bound the optimality test above by the tangency Sharpe ceiling
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