public class Lai2010NPEBModel extends Object
| Modifier and Type | Class and Description |
|---|---|
static class |
Lai2010NPEBModel.OptimalWeights |
| 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.
|
| Modifier and Type | Method and Description |
|---|---|
Lai2010NPEBModel.OptimalWeights |
optimalWeights(Matrix returns,
double lambda)
Computes the weights based on given historical returns and the
risk-aversion index λ.
|
public Lai2010NPEBModel(MVOptimizer optimizer, int nBootstraps)
optimizer - an optimizer to compute optimal weightsnBootstraps - the number of bootstraps to be usedpublic Lai2010NPEBModel(MVOptimizer mvOptimizer, int nBootstraps, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, CetaMaximizer cetaMaximizer)
mvOptimizer - an optimizer to compute optimal weightsnBootstraps - the number of bootstraps to be usedreturnsMomentsEstimator - an estimator of covariance matrixresamplerFactory - the resampling mechanismcetaMaximizer - a maximizer for the C-eta functionpublic Lai2010NPEBModel.OptimalWeights optimalWeights(Matrix returns, double lambda)
returns - the historical returns matrixlambda - the risk-aversion indexCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.