Uses of Interface
com.numericalmethod.suanshu.finance.trading.returns.moments.ReturnsMoments.Estimator

Packages that use ReturnsMoments.Estimator

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.fit
com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.optimizer
com.numericalmethod.suanshu.finance.trading.returns.moments

Uses of ReturnsMoments.Estimator in com.numericalmethod.suanshu.finance.trading.portfoliooptimization

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

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

Uses of ReturnsMoments.Estimator in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010

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

Constructor and Description
Lai2010NPEBModel(MVOptimizer mvOptimizer, int nBootstraps, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, CetaMaximizer cetaMaximizer) Constructs an instance of the model.

Uses of ReturnsMoments.Estimator 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 ReturnsMoments.Estimator

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

Uses of ReturnsMoments.Estimator in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.fit

Classes in com.numericalmethod.suanshu.finance.trading.portfoliooptimization.lai2010.fit that implement ReturnsMoments.Estimator

Modifier and Type	Class and Description
class	SimpleAR1Moments
class	SimpleGARCHMoments1 Estimates the moments by GARCH model.
class	SimpleGARCHMoments2 Estimates the moments by GARCH model.

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

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

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

Uses of ReturnsMoments.Estimator in com.numericalmethod.suanshu.finance.trading.returns.moments

Classes in com.numericalmethod.suanshu.finance.trading.returns.moments that implement ReturnsMoments.Estimator

Modifier and Type	Class and Description
class	MomentsEstimatorLedoitWolf Estimates the first two moments of returns using Ledoit-Wolf 2004.