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Markowitz_Model

"assets_returns.csv"包含了700天FTSE 100中83个公司的收益信息

Csv

csv.hpp和csv.cpp两个文件主要实现了读取csv格式文件的功能。

read_data

read_data.hpp和read_data.cpp两个文件包含将数据保存到2D vector中的函数。

Matrix

Matrix.hpp和Matrix.cpp两个文件包含运算符重载函数，以定义与vector和vector<vector>相关的操作。

assetsReturns

assetReturns.hpp和assetReturns.cpp两个文件包含4个类，用于执行样本内和样本外计算及回测。

class AR

  • 保存通用信息，例如样本内窗口，样本外窗口，滚动窗口，滚动次数窗口，700x83收益矩阵等。

class IS: public virtual AR

  • 计算样本内均值和协方差

class OOS: : public virtual AR

  • 计算样本外均值和协方差

class FTSE: public OOS, public IS

  • 回测

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