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

Class NPEBPortfolioMomentsEstimator

java.lang.Object

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

All Implemented Interfaces:

Ceta.PortfolioMomentsEstimator

public class NPEBPortfolioMomentsEstimator
extends Object
implements Ceta.PortfolioMomentsEstimator

Uses Non-Parametric Empirical Bayes (NPEB) approach to estimate the first and the second moments of the weighted portfolios.

Constructor Summary

Constructors

Constructor and Description
NPEBPortfolioMomentsEstimator(ReturnsMoments.Estimator returnMomentsEstimator, MVOptimizer mvOptimizer, ReturnsResamplerFactory resamplerFactory, int nBootstrapSamples)

Method Summary

Modifier and Type	Method and Description
Ceta.PortfolioMoments	evaluate(Matrix returns, double lambda, double eta)

Methods inherited from class java.lang.Object

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

Constructor Detail

NPEBPortfolioMomentsEstimator

public NPEBPortfolioMomentsEstimator(ReturnsMoments.Estimator returnMomentsEstimator,
                                     MVOptimizer mvOptimizer,
                                     ReturnsResamplerFactory resamplerFactory,
                                     int nBootstrapSamples)

Method Detail

evaluate

public Ceta.PortfolioMoments evaluate(Matrix returns,
                                      double lambda,
                                      double eta)

Specified by:

evaluate in interface Ceta.PortfolioMomentsEstimator