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

Interface MVOptimizer

All Known Implementing Classes:

MVOptimizerLongOnly, MVOptimizerMinWeights, MVOptimizerNoConstraint, MVOptimizerShrankMean

public interface MVOptimizer

Solves for the optimal weight using Mean-Variance optimization.

Nested Class Summary

Nested Classes

Modifier and Type	Interface and Description
static class	MVOptimizer.Result

Method Summary

Modifier and Type	Method and Description
static MVOptimizer.Result	optimalWeights(Matrix returns, ReturnsMoments.Estimator returnsMomentsEstimator, double lambda, double eta, MVOptimizer mvOptimizer)
Vector	optimalWeights(Vector mu, Matrix V, double lambda, double eta) Solves for the optimal weights given the moments, lambda, and eta.

Method Detail

optimalWeights

Vector optimalWeights(Vector mu,
                      Matrix V,
                      double lambda,
                      double eta)

Solves for the optimal weights given the moments, lambda, and eta.

Parameters:

mu - the expected returns

V - the covariance matrix

lambda - the risk-aversion index λ

eta - η

Returns:

the weights

optimalWeights

static MVOptimizer.Result optimalWeights(Matrix returns,
                                         ReturnsMoments.Estimator returnsMomentsEstimator,
                                         double lambda,
                                         double eta,
                                         MVOptimizer mvOptimizer)