srfm::portfolio::OptimalBoost Class Reference

#include <lorentz_portfolio.hpp>

Public Member Functions
	OptimalBoost ()=delete

Static Public Member Functions
static double	find (double target_sharpe, const PortfolioFourVector &portfolio, double step=0.01) noexcept

Detailed Description

Grid-search for the boost β that maximises the Sharpe ratio ret'/vol'.

Searches β ∈ (-0.99, 0.99) in steps of step. Returns the β with the highest Sharpe in the boosted frame. If vol' == 0 for all candidates the function returns 0.0 (identity transform).

Definition at line 149 of file lorentz_portfolio.hpp.

Constructor & Destructor Documentation

OptimalBoost()

srfm::portfolio::OptimalBoost::OptimalBoost ( )

delete

Member Function Documentation

find()

static double srfm::portfolio::OptimalBoost::find ( double  target_sharpe, const PortfolioFourVector &  portfolio, double  step = 0.01  )

inlinestaticnoexcept

Find the β ∈ (-0.99, 0.99) that maximises Sharpe after boosting.

Parameters

target_sharpe	Desired Sharpe (informational; search is exhaustive regardless).
portfolio	Portfolio 4-vector in the lab frame.
step	Grid step size (default 0.01).

Returns

Optimal β.

Definition at line 160 of file lorentz_portfolio.hpp.

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

• include/srfm/lorentz_portfolio.hpp