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A portfolio-optimizer using Markowitz(1952) mean-variance model
PortOpt [Portfolio Optimizer] is a C++ program (with Python binding) implementing the Markowitz(1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk.
You have to provide PortOpt (in text files or - if you use the api - using your own code) the variance/covariance matrix of the assets, their average returns and the agent risk preference.
Written in Lazarus and Free Pascal, this program connects to the internet and obtains the latest exchange rates from http://api.fixer.io/ in JSON format.
This program was originally used as a programming example at http://www.cyberfilth.co.uk/hey-boy-what-you-coding-for-a-pascal-odyssey/