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

Class MVOptimizerShrankMean

java.lang.Object

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

All Implemented Interfaces:

MVOptimizer

public class MVOptimizerShrankMean
extends Object
implements MVOptimizer

Shrinks the mean towards average before passing the inputs to another MVOptimizer.

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer.MVOptimizer

MVOptimizer.Result

Constructor Summary

Constructors

Constructor and Description
MVOptimizerShrankMean(MVOptimizer mvOptimizer, double shrinkage)

Method Summary

Modifier and Type	Method and Description
Vector	optimalWeights(Vector mu0, Matrix V, double lambda, double eta) Solves for the optimal weights given the moments, lambda, and eta.

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.finance.trading.portfoliooptimization.lai2010.optimizer.MVOptimizer

optimalWeights

Constructor Detail

MVOptimizerShrankMean

public MVOptimizerShrankMean(MVOptimizer mvOptimizer,
                             double shrinkage)

Method Detail

optimalWeights

public Vector optimalWeights(Vector mu0,
                             Matrix V,
                             double lambda,
                             double eta)

Description copied from interface: MVOptimizer

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

Specified by:

optimalWeights in interface MVOptimizer

Parameters:

mu0 - the expected returns

V - the covariance matrix

lambda - the risk-aversion index λ

eta - η

Returns:

the weights