srfm::minkowski_momentum::MomentumPortfolioOptimizer Class Reference

#include <minkowski_momentum.hpp>

Classes
struct	Result
	Result of a single optimisation run. More...

Public Types
using	Config = MomentumOptimizerConfig
	Configuration for the gradient-ascent optimiser.

Static Public Member Functions
static std::optional< Result >	optimize (std::span< const double > returns, std::span< const std::array< double, 3 > > exposures, const Config &cfg={}) noexcept

Detailed Description

Definition at line 169 of file minkowski_momentum.hpp.

Member Typedef Documentation

Config

using srfm::minkowski_momentum::MomentumPortfolioOptimizer::Config = MomentumOptimizerConfig

Configuration for the gradient-ascent optimiser.

Definition at line 172 of file minkowski_momentum.hpp.

Member Function Documentation

optimize()

std::optional< MomentumPortfolioOptimizer::Result > srfm::minkowski_momentum::MomentumPortfolioOptimizer::optimize ( std::span< const double >  returns, std::span< const std::array< double, 3 > >  exposures, const Config &  cfg = {}  )

staticnoexcept

Maximise invariant mass over portfolio weight combinations.

Parameters

returns	Asset return vector (one entry per asset).
exposures	Matrix (n_assets × 3): [equity, bond, commodity] exposure coefficients for each asset.
cfg	Optimiser configuration.

Returns

Optimisation result, or nullopt on invalid input.

Definition at line 119 of file minkowski_momentum.cpp.

---

The documentation for this class was generated from the following files:

• include/srfm/minkowski_momentum.hpp
• src/minkowski_momentum.cpp