stochastic-rs-quant 2.4.0

Quantitative finance: pricing, calibration, vol surfaces, instruments.
Documentation 
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//! # Portfolio Optimizers
//!
//! $$
//! \min_{\mathbf{w}} \ \mathcal{L}(\mathbf{w}) + \lambda(\mu_p-r^\*)^2
//! $$
//!
//! Collection of long-only and long-short allocation optimizers.

mod cvar;
mod helpers;
mod heuristic;
mod hrp;
mod markowitz;

pub use cvar::empirical_cvar;
pub use cvar::optimize_mean_cvar;
pub use cvar::optimize_mean_cvar_long_short;
pub use heuristic::optimize_inverse_vol;
pub use heuristic::optimize_risk_parity;
pub use hrp::optimize_hrp;
pub use markowitz::optimize_black_litterman;
pub use markowitz::optimize_markowitz;
pub use markowitz::optimize_markowitz_long_short;

use crate::portfolio::data::corr_from_cov;
use crate::portfolio::types::OptimizerMethod;
use crate::portfolio::types::PortfolioResult;
use crate::portfolio::types::empty_result;

/// Configuration for portfolio optimizer entry points.
///
/// `periods_per_year`: annualization factor for returns (252 = trading days,
/// 252 = daily; 52 = weekly; 12 = monthly; 365 = calendar daily; 24*365 = hourly).
/// Default 252.
///
/// `lambda`: target-return penalty coefficient in mean-variance / mean-CVaR
/// objectives (`min Var + λ·(R − R*)²`). Default 10. Higher values pull the
/// portfolio toward `target_return` more aggressively; lower values let the
/// risk term dominate.
#[derive(Clone, Debug)]
pub struct OptimizerConfig {
  pub periods_per_year: f64,
  pub lambda: f64,
}

impl Default for OptimizerConfig {
  fn default() -> Self {
    Self {
      periods_per_year: 252.0,
      lambda: 10.0,
    }
  }
}

/// Dispatch to selected optimizer with common configuration inputs.
///
/// `config` controls annualization (`periods_per_year`, default 252) and the
/// target-return penalty coefficient (`lambda`, default 10) for mean-variance
/// / mean-CVaR objectives. Pass `&OptimizerConfig::default()` to keep the
/// rc.0/rc.1 behaviour, or tune for non-daily frequency portfolios.
pub fn optimize_with_method(
  method: OptimizerMethod,
  mu: &[f64],
  cov: &[Vec<f64>],
  corr: Option<&[Vec<f64>]>,
  aligned_returns: Option<&[Vec<f64>]>,
  target_return: f64,
  risk_free: f64,
  cvar_alpha: f64,
  allow_short: bool,
  config: &OptimizerConfig,
) -> PortfolioResult {
  if mu.is_empty() {
    return empty_result();
  }

  match method {
    OptimizerMethod::Markowitz => {
      if allow_short {
        optimize_markowitz_long_short(mu, cov, target_return, risk_free, config.lambda)
      } else {
        optimize_markowitz(mu, cov, target_return, risk_free, config.lambda)
      }
    }
    OptimizerMethod::MeanCVaR => {
      if let Some(rets) = aligned_returns {
        if allow_short {
          optimize_mean_cvar_long_short(mu, rets, target_return, risk_free, cvar_alpha, config)
        } else {
          optimize_mean_cvar(mu, rets, target_return, risk_free, cvar_alpha, config)
        }
      } else if allow_short {
        optimize_markowitz_long_short(mu, cov, target_return, risk_free, config.lambda)
      } else {
        optimize_markowitz(mu, cov, target_return, risk_free, config.lambda)
      }
    }
    OptimizerMethod::InverseVol => optimize_inverse_vol(mu, cov, risk_free),
    OptimizerMethod::RiskParity => optimize_risk_parity(mu, cov, risk_free),
    OptimizerMethod::HRP => {
      let corr_mat: Vec<Vec<f64>> = corr.map(|x| x.to_vec()).unwrap_or_else(|| {
        let n = cov.len();
        let mut m = ndarray::Array2::<f64>::zeros((n, n));
        for (i, row) in cov.iter().enumerate() {
          for (j, &v) in row.iter().enumerate() {
            m[(i, j)] = v;
          }
        }
        let c = corr_from_cov(m.view());
        c.outer_iter().map(|r| r.to_vec()).collect()
      });
      optimize_hrp(mu, cov, &corr_mat, risk_free)
    }
    OptimizerMethod::BlackLitterman => {
      optimize_black_litterman(mu, cov, risk_free, target_return, config.lambda)
    }
  }
}

#[cfg(test)]
mod tests;