Package | Description |
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tech.nmfin.portfoliooptimization.lai2010 | |
tech.nmfin.portfoliooptimization.lai2010.ceta.maximizer |
Constructor and Description |
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Lai2010NPEBModel(MVOptimizer mvOptimizer,
int nBootstraps,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
CetaMaximizer cetaMaximizer)
Constructs an instance of the model.
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Modifier and Type | Class and Description |
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class |
BrentCetaMaximizer
Searches for the maximal point of C(η) by
Brent's method.
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class |
CombinedCetaMaximizer
Searches the maximum C(η) by an array of given maximizers, being
tried in sequence.
|
class |
GridSearchCetaMaximizer
Searches (by brute force) for the maximal point of C(η) among a
grid of values.
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Constructor and Description |
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CombinedCetaMaximizer(CetaMaximizer[] maximizers)
Constructs a combined maximizer.
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