Constructor and Description |
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Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
int nBootstraps,
double riskParameter) |
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.
|
Constructor and Description |
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NPEBPortfolioMomentsEstimator(Matrix returns,
ReturnsMoments.Estimator returnMomentsEstimator,
MVOptimizer mvOptimizer,
ReturnsResamplerFactory resamplerFactory,
int nBootstrapSamples) |
Modifier and Type | Class and Description |
---|---|
class |
MVOptimizerLongOnly
A long-only MV optimizer.
|
class |
MVOptimizerMinWeights
Solves for weights with lower bounds.
|
class |
MVOptimizerNoConstraint
Solves for optimal weights by closed-form expressions of w(η) when
there is no limit on short selling.
|
class |
MVOptimizerShrankMean
Shrinks the mean towards average before passing the inputs to another
MVOptimizer.
|
Constructor and Description |
---|
MVOptimizerShrankMean(MVOptimizer mvOptimizer,
double shrinkage) |
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