com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.ceta

Class Ceta

java.lang.Object

com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractRealScalarFunction

com.numericalmethod.suanshu.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction

com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.ceta.Ceta

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction, UnivariateRealFunction

public class Ceta
extends AbstractUnivariateRealFunction

The function C(η) to be maximized (Eq. 3.8).

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	Ceta.PortfolioMoments
static interface	Ceta.PortfolioMomentsEstimator

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Constructor Summary

Constructors

Constructor and Description
Ceta(Matrix returns, double lambda, Ceta.PortfolioMomentsEstimator portfolioMomentsEsimator)

Method Summary

Modifier and Type	Method and Description
double	evaluate(double eta) Evaluate y = f(x).

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction

evaluate

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractRealScalarFunction

dimensionOfDomain, dimensionOfRange

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface com.numericalmethod.suanshu.analysis.function.Function

dimensionOfDomain, dimensionOfRange

Constructor Detail

Ceta

public Ceta(Matrix returns,
            double lambda,
            Ceta.PortfolioMomentsEstimator portfolioMomentsEsimator)

Method Detail

evaluate

public double evaluate(double eta)

Description copied from interface: UnivariateRealFunction

Evaluate y = f(x).

Parameters:

eta - x

Returns:

f(x)