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Boki 2025-06-11 10:38:05 -04:00
parent 597c6efc9b
commit 8b5e06954a
26 changed files with 532 additions and 186 deletions
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20
libs/utils/src/calculations/portfolio-analytics.ts
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@ -209,7 +209,9 @@ export function riskParityOptimization(covarianceMatrix: number[][]): PortfolioO
const sum = newWeights.reduce((s, w) => s + w, 0);
weights = newWeights.map(w => w / sum);
if (converged) {break;}
if (converged) {
break;
}
}
const portfolioVariance = calculatePortfolioVariance(weights, covarianceMatrix);
@ -402,7 +404,9 @@ export function calculateEfficientFrontier(
volatility: number;
sharpeRatio: number;
}> {
if (returns.length !== symbols.length || returns.length < 2) {return [];}
if (returns.length !== symbols.length || returns.length < 2) {
return [];
}
const n = returns.length;
const results: Array<{
@ -456,7 +460,9 @@ export function findMinimumVariancePortfolio(
returns: number[][],
symbols: string[]
): PortfolioOptimizationResult | null {
if (returns.length !== symbols.length || returns.length < 2) {return null;}
if (returns.length !== symbols.length || returns.length < 2) {
return null;
}
const covarianceMatrix = calculateCovarianceMatrix(returns);
const n = returns.length;
@ -517,7 +523,9 @@ function calculateCovarianceMatrix(returns: number[][]): number[][] {
}
function calculateCovariance(x: number[], y: number[]): number {
if (x.length !== y.length || x.length < 2) {return 0;}
if (x.length !== y.length || x.length < 2) {
return 0;
}
const n = x.length;
const meanX = x.reduce((sum, val) => sum + val, 0) / n;
@ -559,7 +567,9 @@ function findMinimumVarianceWeights(
const currentReturn = weights.reduce((sum, w, i) => sum + w * expectedReturns[i], 0);
const returnDiff = targetReturn - currentReturn;
if (Math.abs(returnDiff) < 0.001) {break;}
if (Math.abs(returnDiff) < 0.001) {
break;
}
// Adjust weights proportionally to expected returns
const totalExpectedReturn = expectedReturns.reduce((sum, r) => sum + Math.abs(r), 0);