flo1166/portfoliooptimization

This was part of the lecture "object oriented programming of heuristics" at the KU Ingolstadt.

portfolioOptimization

This code helps to perform a monte-carlo simulation. The simulation is famous in the area of finance, as it helps to calculate return and variance of a portfolio with weights and correlations.

• Asset = saves the name, expected return
• Covariance = saves the covariance for each asset
• FitHeuristic = to calculate the portfolio return and variance and perform through a given repetation number to get best performing once of all performed portfolio weight combinations

Credits for the solution during lecture are given to Andreas Popp (Lecturer @ WFI) and Andre Koners