public static class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator extends Object implements PortfolioOptimizationAlgorithm.CovarianceEstimator
Constructor and Description |
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SampleCovarianceEstimator() |
Modifier and Type | Method and Description |
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Matrix |
getCovariances(Matrix returns,
PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
org.joda.time.Interval interval) |
public Matrix getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval)
getCovariances
in interface PortfolioOptimizationAlgorithm.CovarianceEstimator
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