public class Corvalan2005 extends Object
DiversificationMeasure).| Modifier and Type | Class and Description |
|---|---|
static interface |
Corvalan2005.WeightsConstraint
Constraints on weights which are defined by a set of less-than constraints.
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| Constructor and Description |
|---|
Corvalan2005(double deltaSigma,
double deltaR)
Constructs an instance of the Corvalan model.
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Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer,
DiversificationMeasure diversificationMeasure,
double deltaSigma,
double deltaR)
Constructs an instance of the Corvalan model.
|
| Modifier and Type | Method and Description |
|---|---|
Vector |
getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r)
Finds the optimal weights for a diversified portfolio.
|
Vector |
getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r,
EqualityConstraints extraEqualityConstraints,
LessThanConstraints extraLessThanConstraints)
Finds the optimal weights for a diversified portfolio.
|
public Corvalan2005(double deltaSigma,
double deltaR)
deltaSigma - the relaxation of portfolio volatilitydeltaR - the relaxation of portfolio returnpublic Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer, DiversificationMeasure diversificationMeasure, double deltaSigma, double deltaR)
minimizer - the optimizerdiversificationMeasure - the diversification measuredeltaSigma - the relaxation of portfolio volatilitydeltaR - the relaxation of portfolio returnpublic Vector getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint, Vector weights0, Matrix sigma, Vector r) throws Exception
constraint - the weight constraintsweights0 - the original optimal weightssigma - the covariance matrix of asset returnsr - the expected asset returnsException - when the optimizer fails to find a solutionpublic Vector getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint, Vector weights0, Matrix sigma, Vector r, EqualityConstraints extraEqualityConstraints, LessThanConstraints extraLessThanConstraints) throws Exception
constraint - the weight constraintsweights0 - the original optimal weightssigma - the covariance matrix of asset returnsr - the expected asset returnsextraEqualityConstraints - the additional equality constraintsextraLessThanConstraints - the additional less-than constraintsException - when the optimizer fails to find a solutionCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.