Uses of Interface
com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer.MVOptimizer

Packages that use MVOptimizer

Package	Description
com.numericalmethod.suanshu.finance.trading.portfoliooptimization
com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010
com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.ceta.npeb
com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer

Uses of MVOptimizer in com.numericalmethod.suanshu.finance.trading.portfoliooptimization

Constructors in com.numericalmethod.suanshu.finance.trading.portfoliooptimization with parameters of type MVOptimizer

Constructor and Description
Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)

Uses of MVOptimizer in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010

Constructors in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010 with parameters of type MVOptimizer

Constructor and Description
Lai2010NPEBModel(MVOptimizer optimizer, int nBootstraps) Constructs an instance of the model using MomentsEstimatorLedoitWolf as the default estimator of covariance matrix, and assuming IID for each individual asset for re-sampling.
Lai2010NPEBModel(MVOptimizer mvOptimizer, int nBootstraps, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, CetaMaximizer cetaMaximizer) Constructs an instance of the model.

Uses of MVOptimizer in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.ceta.npeb

Constructors in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.ceta.npeb with parameters of type MVOptimizer

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

Uses of MVOptimizer in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer

Classes in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer that implement MVOptimizer

Modifier and Type	Class and Description
class	MVOptimizerLongOnly A long-only MV optimizer.
class	MVOptimizerMinWeights Solves for weights by (active set) quadratic programming.
class	MVOptimizerNoConstraint Solves for optimal weights by closed-form expressions of w(η) when there is no limit on short selling.
class	MVOptimizerShrankMean Shrinks the mean towards average before passing the inputs to another MVOptimizer.

Methods in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer with parameters of type MVOptimizer

Modifier and Type	Method and Description
static MVOptimizer.Result	MVOptimizer.optimalWeights(Matrix returns, ReturnsMoments.Estimator returnsMomentsEstimator, double lambda, double eta, MVOptimizer mvOptimizer)

Constructors in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer with parameters of type MVOptimizer

Constructor and Description
MVOptimizerShrankMean(MVOptimizer mvOptimizer, double shrinkage)