public interface PortfolioOptimizationAlgorithm
Modifier and Type | Interface and Description |
---|---|
static interface |
PortfolioOptimizationAlgorithm.CovarianceEstimator
Define how the expected covariances of an asset for a future period is
computed.
|
static interface |
PortfolioOptimizationAlgorithm.MeanEstimator
Define how the expected mean of an asset for a future period is
computed.
|
static class |
PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
Estimate the expected covariances of an asset using sample covariances.
|
static class |
PortfolioOptimizationAlgorithm.SampleMeanEstimator
Estimate the expected mean of an asset using sample mean.
|
static interface |
PortfolioOptimizationAlgorithm.SymbolLookup
Provides a lookup for product symbols and indices.
|
Modifier and Type | Method and Description |
---|---|
Vector |
getOptimalWeights(Matrix returns,
Vector weights0,
PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
org.joda.time.Interval interval)
Computes the optimal weights for the products using returns.
|
Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval) throws Exception
returns
- the returns of the productsweights0
- the initial/current/original weightssymbolLookup
- the lookup service for product symbols and indicesinterval
- the time interval of the returns matrixException
- if fail to compute optimal weightsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.