Skip to main content

OptimizationObjective

fin_primitives::portfolio::optimizer

Enum OptimizationObjective 

Source 
pub enum OptimizationObjective {
    MinVariance,
    MaxSharpe {
        risk_free_rate: f64,
    },
    RiskParity,
    EqualWeight,
}
Expand description

Objective function for portfolio optimization.

Variants§

§

MinVariance

Minimize portfolio variance.

§

MaxSharpe

Maximize Sharpe ratio given a risk-free rate.

Fields

§risk_free_rate: f64

Annualized risk-free rate (e.g. 0.05 = 5 %).

§

RiskParity

Risk-parity: equalize each asset’s marginal risk contribution.

§

EqualWeight

Equal-weight: 1/N across all assets.

Trait Implementations§

Source§

impl Clone for OptimizationObjective

Source§

fn clone(&self) -> Self

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
Source§

impl Debug for OptimizationObjective

Source§

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

Blanket Implementations§

Source§

impl<T> Any for T
where T: 'static + ?Sized,

Source§

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
Source§

impl<T> Borrow<T> for T
where T: ?Sized,

Source§

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
Source§

impl<T> BorrowMut<T> for T
where T: ?Sized,

Source§

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
Source§

impl<T> CloneToUninit for T
where T: Clone,

Source§

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
Source§

impl<T> From<T> for T

Source§

fn from(t: T) -> T

Returns the argument unchanged.

Source§

impl<T, U> Into<U> for T
where U: From<T>,

Source§

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

Source§

impl<T> ToOwned for T
where T: Clone,

Source§

type Owned = T

The resulting type after obtaining ownership.
Source§

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
Source§

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
Source§

impl<T, U> TryFrom<U> for T
where U: Into<T>,

Source§

type Error = !

The type returned in the event of a conversion error.
Source§

fn try_from(value: U) -> Result<T, !>

Performs the conversion.
Source§

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

Source§

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
Source§

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.