srfm::portfolio::OptimizationResult Struct Reference

Result of a single portfolio optimization run. More...

#include <relativistic_optimizer.hpp>

Public Attributes
Eigen::VectorXd	weights
	Optimal asset weights (sum to 1, >= 0)
double	geodesic_risk
	Achieved geodesic risk d_geo²
double	expected_return
	w^T μ_rel (relativistic expected return)
int	iterations
	Number of gradient descent iterations.
bool	converged
	True iff convergence_tol was reached.

Detailed Description

Result of a single portfolio optimization run.

Definition at line 76 of file relativistic_optimizer.hpp.

Member Data Documentation

converged

bool srfm::portfolio::OptimizationResult::converged

True iff convergence_tol was reached.

Definition at line 81 of file relativistic_optimizer.hpp.

expected_return

double srfm::portfolio::OptimizationResult::expected_return

w^T μ_rel (relativistic expected return)

Definition at line 79 of file relativistic_optimizer.hpp.

geodesic_risk

double srfm::portfolio::OptimizationResult::geodesic_risk

Achieved geodesic risk d_geo²

Definition at line 78 of file relativistic_optimizer.hpp.

iterations

int srfm::portfolio::OptimizationResult::iterations

Number of gradient descent iterations.

Definition at line 80 of file relativistic_optimizer.hpp.

weights

Eigen::VectorXd srfm::portfolio::OptimizationResult::weights

Optimal asset weights (sum to 1, >= 0)

Definition at line 77 of file relativistic_optimizer.hpp.

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

• include/relativistic_optimizer.hpp