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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.
It returns the vector of assets' shares that composes the optimal...
It's a class library that implements functions for working with curren
Currency project is a class library that implements functions for working with currencies.
Currency class is responsible for arithmetic functions and storage. It implements the integer math with accuracy up to 1/10000.
CurrencyInfo class is responsible for storing information about specific currency in accordance with ISO-4217.
CurrencyInfoDir class implements catalog of descriptions currencies, as well as searching for descriptions of currency by the ISO-4217 code. It's also provide...