srfm::portfolio::RelativisticPortfolio Class Reference

#include <relativistic_optimizer.hpp>

Public Member Functions
	RelativisticPortfolio (OptimizerConfig config=OptimizerConfig{}) noexcept
	Construct with optional configuration.
void	add_asset (AssetEvent event, double expected_return)
std::size_t	n_assets () const noexcept
	Return the number of assets currently in the portfolio.
std::optional< Eigen::VectorXd >	relativistic_returns () const noexcept
std::optional< Eigen::MatrixXd >	spacetime_covariance () const noexcept
std::optional< OptimizationResult >	optimize_weights (double target_return, double risk_tolerance=1.0) const noexcept
void	clear () noexcept
	Remove all assets from the portfolio.

Detailed Description

Relativistic portfolio optimizer: Markowitz on the financial manifold.

Workflow

1. Construct with a list of AssetEvents (one per asset in the portfolio).
2. Set expected returns via set_expected_returns().
3. Call optimize_weights(target_return, risk_tolerance).

The spacetime covariance matrix Σ_st is computed internally from the AssetEvents using MinkowskiCovariance and used as the geodesic metric.

Example

RelativisticPortfolio rp;
rp.add_asset(AssetEvent{"AAPL", 1.0, 150.0, 1e8, 2.4e12}, 0.12);
rp.add_asset(AssetEvent{"MSFT", 1.0, 290.0, 8e7, 2.1e12}, 0.10);
auto result = rp.optimize_weights(0.08, 0.5);
if (result) {
    std::cout << result->weights << "\n";
}

Definition at line 106 of file relativistic_optimizer.hpp.

Constructor & Destructor Documentation

RelativisticPortfolio()

srfm::portfolio::RelativisticPortfolio::RelativisticPortfolio ( OptimizerConfig  config = OptimizerConfig{} )

explicitnoexcept

Construct with optional configuration.

Definition at line 33 of file relativistic_optimizer.cpp.

Member Function Documentation

add_asset()

void srfm::portfolio::RelativisticPortfolio::add_asset	(	AssetEvent	event,
		double	expected_return
	)

Add an asset with its annualised expected return.

Parameters

event	AssetEvent providing spacetime coordinates.
expected_return	Annualised expected return for this asset (e.g. 0.10 = 10%).

Definition at line 38 of file relativistic_optimizer.cpp.

clear()

void srfm::portfolio::RelativisticPortfolio::clear ( )

noexcept

Remove all assets from the portfolio.

Definition at line 48 of file relativistic_optimizer.cpp.

n_assets()

std::size_t srfm::portfolio::RelativisticPortfolio::n_assets ( ) const

noexcept

Return the number of assets currently in the portfolio.

Definition at line 44 of file relativistic_optimizer.cpp.

optimize_weights()

std::optional< OptimizationResult > srfm::portfolio::RelativisticPortfolio::optimize_weights ( double  target_return, double  risk_tolerance = 1.0  ) const

noexcept

Run the relativistic portfolio optimization.

Formulates the problem as a geodesic minimization on the financial manifold and solves it via projected gradient descent on the simplex.

Parameters

target_return	Minimum required relativistic expected return.
risk_tolerance	Scalar multiplier on the geodesic risk term (higher = more risk-averse; default 1.0).

Returns

OptimizationResult, or nullopt if fewer than 2 assets are loaded or the covariance is degenerate.

Definition at line 160 of file relativistic_optimizer.cpp.

relativistic_returns()

std::optional< Eigen::VectorXd > srfm::portfolio::RelativisticPortfolio::relativistic_returns ( ) const

noexcept

Compute the gamma-weighted (relativistic) expected return vector.

For each asset i: μ_rel_i = γ(β_i) · μ_i where β_i = |ΔP_i| / (c_market · |Δt_i|) approximated from the event coordinates relative to a reference event at the origin.

Returns

Vector of length n_assets(), or nullopt if no assets added.

Definition at line 82 of file relativistic_optimizer.cpp.

spacetime_covariance()

std::optional< Eigen::MatrixXd > srfm::portfolio::RelativisticPortfolio::spacetime_covariance ( ) const

noexcept

Compute the NxN spacetime covariance matrix Σ_st.

Uses MinkowskiCovariance internally. Returns nullopt if fewer than 2 assets are loaded.

Returns

NxN Eigen::MatrixXd, or nullopt on failure.

Definition at line 100 of file relativistic_optimizer.cpp.

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

• include/relativistic_optimizer.hpp
• src/relativistic_optimizer.cpp