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OptimizerInputsObjective.md

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optimizationengineapimultiperiod.OptimizerInputsObjective

Properties

Name Type Description Notes
factorExposure [OptimizerInputsFactorExposureTerm] [optional]
expectedTailLoss [OptimizerInputsExpectedTailLossTerm] [optional]
volatility [OptimizerInputsVolatilityTerm] [optional]
drawdown [OptimizerInputsDrawdownTerm] [optional]
generalLinear [OptimizerInputsGeneralLinearTerm] [optional]
expectedReturn [OptimizerInputsExpectedReturnTerm] [optional]
sensitivity [OptimizerInputsSensitivityTerm] [optional]
sharpeRatio OptimizerInputsSharpeRatioTerm [optional]
starr OptimizerInputsSTARRTerm [optional]
diversificationRatio OptimizerInputsDiversificationRatioTerm [optional]
nullRiskParity Boolean This is true when there is no risk_parity [optional]
riskParity OptimizerInputsRiskParityTerm [optional]
transactionCost [OptimizerInputsTransactionCostTerm] [optional]