lorentz_portfolio.hpp File Reference

Lorentz Portfolio Transformation — Round 4 public API. More...

#include "srfm/types.hpp"
#include "srfm/constants.hpp"
#include <cmath>
#include <optional>
#include <stdexcept>

Go to the source code of this file.

Classes
struct	srfm::portfolio::PortfolioFourVector
struct	srfm::portfolio::LorentzFactor
class	srfm::portfolio::LorentzBoost
class	srfm::portfolio::PortfolioInvariant
class	srfm::portfolio::OptimalBoost

Namespaces
namespace	srfm
namespace	srfm::portfolio

Detailed Description

Lorentz Portfolio Transformation — Round 4 public API.

Module: Lorentz Portfolio Transformation

Concept

Interprets a portfolio's statistical moments as a 4-vector in financial spacetime: (return, volatility, skewness, kurtosis). A Lorentz boost along the return-volatility plane simulates the effect of "moving" the portfolio to a different reference frame — useful for stress-testing how Sharpe ratios transform under regime shifts.

Transformation (boost along return axis, β ∈ (-1, 1))

ret' = γ*(ret - β*vol)
vol' = γ*(vol - β*ret)
skew' = skew            (transverse — unchanged)
kurt' = kurt            (transverse — unchanged)

where γ = 1/√(1 - β²).

Minkowski invariant

I = ret² - vol² - skew² - kurt²

This scalar is invariant under all boosts — i.e. I == I' for any β.

References

The analogy follows the 4-vector formalism in Special Relativity: x^μ = (ct, x, y, z) → (ret, vol, skew, kurt)

Guarantees

• All methods noexcept
• No dynamic allocation
• Thread-safe (pure functions)

Definition in file lorentz_portfolio.hpp.