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  1. #include <iostream>
  2. #include <vector>
  3. #include <cmath>
  4. #include <algorithm>
  5. #include <iomanip>
  6. #include <tuple>
  7.  
  8. using namespace std;
  9.  
  10. using Portfolio = vector<int>; // weights in percent, size = 5
  11.  
  12. double percentile15(vector<double>& data) {
  13.     sort(data.begin(), data.end());
  14.     size_t index = static_cast<size_t>(floor(0.15 * data.size()));
  15.     if (index >= data.size()) index = data.size() - 1;
  16.     return data[index];
  17. }
  18.  
  19. double lumpSumCAGR(const vector<double>& returns) {
  20.     double compound = 1.0;
  21.     for (double r : returns) {
  22.         compound *= (1.0 + r);
  23.     }
  24.     return pow(compound, 1.0 / returns.size()) - 1.0;
  25. }
  26.  
  27. double portfolioReturn(const vector<vector<double>>& assets, const Portfolio& weights, int year) {
  28.     double result = 0.0;
  29.     for (int i = 0; i < 5; ++i) {
  30.         result += (weights[i] / 100.0) * assets[i][year];
  31.     }
  32.     return result;
  33. }
  34.  
  35. void generatePortfolios(vector<Portfolio>& portfolios, Portfolio current, int pos, int totalWeight, int maxAssets) {
  36.     if (pos == 5) {
  37.         if (totalWeight == 100) {
  38.             int nonZero = count_if(current.begin(), current.end(), [](int w) { return w > 0; });
  39.             if (nonZero <= maxAssets) {
  40.                 portfolios.push_back(current);
  41.             }
  42.         }
  43.         return;
  44.     }
  45.     for (int w = 0; w <= 100 - totalWeight; w += 5) {
  46.         current[pos] = w;
  47.         generatePortfolios(portfolios, current, pos + 1, totalWeight + w, maxAssets);
  48.     }
  49. }
  50.  
  51. int main() {
  52.     const int numAssets = 5;
  53.     const int maxAssets = 4;
  54.     const int step = 5;
  55.     const int duration = 15;
  56.  
  57.     // Asset names
  58.     vector<string> assetNames = {"scv60Lcg15", "scv95", "vti", "11all", "33gld"};
  59.  
  60.     // Replace these with actual return data for each asset
  61.     vector<vector<double>> assets = {
  62.     // Asset 1
  63.     {-0.04,0.14,0.15,-0.14,-0.19,0.26,0.28,0.04,0.08,0.28,0.08,-0.06,0.24,0.22,-0.01,0.26,0.14,-0.02,0.14,0.16,
  64.      -0.16,0.29,0.15,0.18,-0.03,0.20,0.13,0.20,0.02,0.08,-0.04,0.04,-0.07,0.33,0.12,0.06,0.15,0.01,-0.26,0.31,
  65.      0.22,-0.03,0.15,0.19,0.08,-0.06,0.16,0.13,-0.11,0.21,0.13,0.12,-0.18,0.15,0.12},
  66.  
  67.     // Asset 2
  68.     {-0.03,0.13,0.06,-0.29,-0.31,0.43,0.46,0.08,0.07,0.21,0.12,0.06,0.31,0.38,0.02,0.31,0.12,-0.08,0.23,0.14,
  69.      -0.22,0.37,0.24,0.19,-0.02,0.24,0.17,0.31,-0.06,0.02,0.04,0.11,-0.13,0.41,0.17,0.04,0.15,-0.09,-0.32,0.33,
  70.      0.23,-0.06,0.18,0.32,0.09,-0.06,0.23,0.09,-0.15,0.20,0.03,0.19,-0.16,0.11,0.08},
  71.  
  72.     // Asset 3
  73.     {-0.02,0.11,0.12,-0.25,-0.36,0.30,0.21,-0.11,-0.01,0.05,0.16,-0.11,0.19,0.19,0.01,0.28,0.15,-0.02,0.12,0.24,
  74.      -0.10,0.29,0.06,0.08,-0.01,0.34,0.19,0.30,0.24,0.19,-0.13,-0.09,-0.25,0.30,0.08,0.02,0.12,0.01,-0.37,0.26,
  75.      0.16,-0.02,0.14,0.31,0.12,0.00,0.11,0.19,-0.07,0.28,0.19,0.18,-0.24,0.22,0.20},
  76.  
  77.     // Asset 4
  78.     {-0.02,0.12,0.14,-0.13,-0.19,0.22,0.26,0.04,0.06,0.19,0.07,-0.07,0.20,0.20,0.03,0.26,0.19,0.00,0.14,0.15,
  79.      -0.16,0.24,0.10,0.20,-0.02,0.19,0.12,0.17,0.01,0.05,0.01,0.02,-0.06,0.32,0.14,0.07,0.17,-0.01,-0.25,0.25,
  80.      0.20,0.00,0.14,0.15,0.11,-0.04,0.13,0.12,-0.10,0.20,0.07,0.12,-0.19,0.10,0.08},
  81.  
  82.     // Asset 5 (new)
  83.     {-0.01,0.11,0.19,0.03,-0.05,0.13,0.23,0.07,0.10,0.44,0.08,-0.13,0.20,0.14,-0.04,0.19,0.16,0.02,0.06,0.08,
  84.      -0.15,0.17,0.08,0.16,-0.03,0.17,0.11,0.12,0.00,0.02,-0.01,0.02,-0.02,0.30,0.11,0.07,0.19,0.03,-0.21,0.25,
  85.      0.23,0.00,0.13,0.08,0.09,-0.06,0.13,0.10,-0.08,0.20,0.10,0.11,-0.14,0.11,0.14}
  86. };
  87.  
  88.     int numYears = assets[0].size();
  89.     vector<Portfolio> portfolios;
  90.     generatePortfolios(portfolios, Portfolio(5, 0), 0, 0, maxAssets);
  91.  
  92.     vector<tuple<Portfolio, double>> portfolioResults;
  93.  
  94.     for (const Portfolio& p : portfolios) {
  95.         vector<double> cagrList;
  96.  
  97.         for (int start = 0; start <= numYears - duration; ++start) {
  98.             vector<double> subReturns;
  99.             for (int i = 0; i < duration; ++i) {
  100.                 double portRet = portfolioReturn(assets, p, start + i);
  101.                 subReturns.push_back(portRet);
  102.             }
  103.             double cagr = lumpSumCAGR(subReturns);
  104.             cagrList.push_back(cagr);
  105.         }
  106.  
  107.         double bottom15 = percentile15(cagrList);
  108.         portfolioResults.emplace_back(p, bottom15);
  109.     }
  110.  
  111.     sort(portfolioResults.begin(), portfolioResults.end(),
  112.          [](const auto& a, const auto& b) {
  113.              return get<1>(a) > get<1>(b);
  114.          });
  115.  
  116.     cout << fixed << setprecision(2);
  117.     for (int i = 0; i < 2 && i < portfolioResults.size(); ++i) {
  118.         auto [weights, cagr] = portfolioResults[i];
  119.         cout << "Portfolio " << i+1 << ":\n";
  120.         for (int j = 0; j < numAssets; ++j) {
  121.             if (weights[j] > 0)
  122.                 cout << "  " << assetNames[j] << ": " << weights[j] << "%\n";
  123.         }
  124.         cout << "  Bottom 15th Percentile CAGR: " << cagr * 100 << "%\n\n";
  125.     }
  126.  
  127.     return 0;
  128. }
  129.  
Success #stdin #stdout 0.15s 5292KB
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stdin
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Standard input is empty
stdout
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Portfolio 1:
  scv60Lcg15: 90%
  scv95: 10%
  Bottom 15th Percentile CAGR: 7.21%

Portfolio 2:
  scv60Lcg15: 85%
  scv95: 5%
  33gld: 10%
  Bottom 15th Percentile CAGR: 7.20%
https://ideone.com/8YdgGg
language:
C++ (gcc 8.3)
created:
10 days ago
visibility:
public

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