Implements C# version of BlackLittermanPortfolioConstructionModel

[jaredbroad]

Expected Behavior

C# and Python implementations of all models.

Actual Behavior

Missing Black Litterman implementation in C#.

Potential Solution

Port to C#: https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Portfolio/BlackLittermanPortfolioConstructionModel.py

Checklist

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• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[AlexCatarino]

We have tried to port the python version of BlackLittermanPortfolioConstructionModel into C# using MathNet and Accord: BlackLittermanPortfolioConstructionModel.cs.

However, to our knowledge, neither of these libraries can find the minimum of a function given:

• Initial guess;
• Boundary conditions
• Internal constraint.

The function we want to minimize is the Sharpe Ratio, the initial guess if the equally weighted portfolio, the boundary conditions is that weights of each security must be between -1 and 1 and the internal constraint is that the sum of weights must be 1.

The solution of this problem might be applicable to #2219.

[AlexCatarino]

@TheLastTech, yes: Implements C# version of BlackLittermanPortfolioConstructionModel. Good luck!

[wildart]

Unfortunately, without a proper nonlinear optimizer, it will be hard to get it work correctly.

[jaredbroad]

We have http://www.alglib.net/optimization package available in QC Cloud. Can assume safe to use here.