com.numericalmethod.suanshu.finance.trading.portfoliooptimization.nmsaam

Class SAAM

java.lang.Object

com.numericalmethod.suanshu.finance.trading.portfoliooptimization.nmsaam.SAAM

All Implemented Interfaces:

PortfolioOptimizationAlgorithm

public class SAAM
extends Object
implements PortfolioOptimizationAlgorithm

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.finance.trading.portfoliooptimization.PortfolioOptimizationAlgorithm

PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup

Constructor Summary

Constructors

Constructor and Description
SAAM(double riskAverse)
SAAM(double shrinkage, double riskAverse)
SAAM(double shrinkage, double riskAverse, int maxStocks)
SAAM(double shrinkage, double riskAverse, int nBoots, int maxStocks, double explained)
SAAM(double riskAverse, int maxStocks)

Method Summary

Modifier and Type	Method and Description
Vector	getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup) Computes the optimal weights for the products using returns.

Methods inherited from class java.lang.Object

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

Constructor Detail

SAAM

public SAAM(double shrinkage,
            double riskAverse,
            int nBoots,
            int maxStocks,
            double explained)

Parameters:

shrinkage - shrinkage

riskAverse - risk adverse parameters; the bigger the more risk adverse

nBoots - number of bootstrapped paths

maxStocks - maximum number of stocks

explained - weights explained

SAAM

public SAAM(double shrinkage,
            double riskAverse)

SAAM

public SAAM(double riskAverse)

SAAM

public SAAM(double shrinkage,
            double riskAverse,
            int maxStocks)

SAAM

public SAAM(double riskAverse,
            int maxStocks)

Method Detail

getOptimalWeights

public Vector getOptimalWeights(Matrix returns,
                                Vector weights0,
                                PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup)
                         throws Exception

Description copied from interface: PortfolioOptimizationAlgorithm

Computes the optimal weights for the products using returns.

Specified by:

getOptimalWeights in interface PortfolioOptimizationAlgorithm

Parameters:

returns - the returns of the products

weights0 - the initial/current/original weights

symbolLookup - the lookup service for product symbols and indices

Returns:

the optimal weights

Throws:

Exception - if fail to compute optimal weights