Class PortfolioOptimizer

java.lang.Object

com.quantfinlib.optimization.PortfolioOptimizer

public final class PortfolioOptimizer
extends Object

Portfolio Optimization Engine (long-only, fully invested).

Supports maximum-Sharpe and minimum-volatility portfolios plus efficient frontier construction. The optimizer uses stochastic search over the simplex (Dirichlet sampling) followed by deterministic pairwise-transfer refinement, which is robust for non-smooth objectives and needs no external solver. Results are deterministic for a given seed.

Expected returns and covariance must share the same periodicity (e.g. both annualized, or both daily).

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	PortfolioOptimizer.Allocation	An optimized allocation with its risk/return profile (same periodicity as the inputs).

Constructor Summary

Constructors

Constructor	Description
PortfolioOptimizer(double[] expectedReturns, double[][] covariance)
PortfolioOptimizer(double[] expectedReturns, double[][] covariance, long seed)

Method Summary

Modifier and Type	Method	Description
List<PortfolioOptimizer.Allocation>	efficientFrontier(int points)	Efficient frontier: minimum-volatility portfolios across a grid of target returns between the min and max asset expected returns.
PortfolioOptimizer.Allocation	maxSharpe(double riskFreeRate)	Maximum Sharpe ratio portfolio.
PortfolioOptimizer.Allocation	minVolatility()	Minimum volatility portfolio.
static double[]	rebalance(double[] currentWeights, double[] targetWeights)	Rebalancing deltas: target minus current weights, per asset.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PortfolioOptimizer

public PortfolioOptimizer(double[] expectedReturns,
 double[][] covariance)

PortfolioOptimizer

public PortfolioOptimizer(double[] expectedReturns,
 double[][] covariance,
 long seed)

Method Details

maxSharpe

public PortfolioOptimizer.Allocation maxSharpe(double riskFreeRate)

Maximum Sharpe ratio portfolio. riskFreeRate in the same periodicity as the inputs.

minVolatility

public PortfolioOptimizer.Allocation minVolatility()

Minimum volatility portfolio.

efficientFrontier

public List<PortfolioOptimizer.Allocation> efficientFrontier(int points)

Efficient frontier: minimum-volatility portfolios across a grid of target returns between the min and max asset expected returns.

rebalance

public static double[] rebalance(double[] currentWeights,
 double[] targetWeights)

Rebalancing deltas: target minus current weights, per asset.