Interface Summary Interface Description PortfolioOptimizationAlgorithmComputes the optimal weights based only on returns. PortfolioOptimizationAlgorithm.CovarianceEstimatorDefine how the expected covariances of an asset for a future period is computed. PortfolioOptimizationAlgorithm.MeanEstimatorDefine how the expected mean of an asset for a future period is computed. PortfolioOptimizationAlgorithm.SymbolLookupProvides a lookup for product symbols and indices.
Class Summary Class Description Lai2010OptimizationAlgorithm PortfolioOptimizationAlgorithm.SampleCovarianceEstimatorEstimate the expected covariances of an asset using sample covariances. PortfolioOptimizationAlgorithm.SampleMeanEstimatorEstimate the expected mean of an asset using sample mean. PortfolioUtils TopNOptimizationAlgorithm