com.numericalmethod.suanshu.finance.trading.portfoliooptimization

Interface PortfolioOptimizationAlgorithm

All Known Implementing Classes:

Lai2010OptimizationAlgorithm, SAAM, TopNOptimizationAlgorithm

public interface PortfolioOptimizationAlgorithm

Computes the optimal weights based only on returns. In general, portfolio optimization takes in more parameters than just the return matrix. Those parameters, such as risk parameters, constraints, are usually fixed. We can fix them in the constructors. Therefore, this API takes only the variable parameters that can change between calls.

Nested Class Summary

Nested Classes

Modifier and Type	Interface and Description
static interface	PortfolioOptimizationAlgorithm.CovarianceEstimator
static interface	PortfolioOptimizationAlgorithm.MeanEstimator
static class	PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
static class	PortfolioOptimizationAlgorithm.SampleMeanEstimator
static interface	PortfolioOptimizationAlgorithm.SymbolLookup Provides a lookup for product symbols and indices.

Method Summary

Modifier and Type	Method and Description
Vector	getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup) Computes the optimal weights for the products using returns.

Method Detail

getOptimalWeights

Vector getOptimalWeights(Matrix returns,
                         Vector weights0,
                         PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup)
                  throws Exception

Computes the optimal weights for the products using returns.

Parameters:

returns - the returns of the products

weights0 - the initial/current/original weights

symbolLookup - the lookup service for product symbols and indices

Returns:

the optimal weights

Throws:

Exception - if fail to compute optimal weights