public class TopNOptimizationAlgorithm extends Object implements PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup
Constructor and Description |
---|
TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo,
int N,
double B) |
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.
|
static Vector |
getTopN(Vector w0,
int N,
double B) |
public TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo, int N, double B)
public Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval) throws Exception
PortfolioOptimizationAlgorithm
getOptimalWeights
in interface PortfolioOptimizationAlgorithm
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.