Modifier and Type | Class and Description |
---|---|
class |
MarketImpact1
Constructs the constraint coefficient arrays of a market impact term in the
compact form.
|
class |
PortfolioRiskExactSigma
Constructs the constraint coefficient arrays of the portfolio risk term in
the compact form.
|
class |
SOCPRiskConstraint |
Modifier and Type | Method and Description |
---|---|
List<SOCPPortfolioConstraint> |
SOCPPortfolioProblem.getPortfolioConstraints()
Gets the portfolio constraints.
|
List<SOCPPortfolioConstraint> |
SOCPPortfolioObjectiveFunction.getPortfolioConstraints()
Gets the portfolio constraints represented in the objective function.
|
Constructor and Description |
---|
SOCPPortfolioObjectiveFunction(Matrix returns,
double[] lambda,
SOCPRiskConstraint risk,
SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
|
SOCPPortfolioObjectiveFunction(Vector r_bar,
double[] lambda,
SOCPRiskConstraint risk,
SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
|
SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f,
SOCPPortfolioConstraint[] constraints)
Constructs an SOCP problem for portfolio optimization.
|
Constructor and Description |
---|
SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f,
Collection<SOCPPortfolioConstraint> constraints)
Constructs an SOCP problem for portfolio optimization.
|
Modifier and Type | Class and Description |
---|---|
class |
SOCPMaximumLoan
Transforms a maximum loan constraint into the compact SOCP form.
|
class |
SOCPNoTradingList1
Transforms a black list (not to trade a new position) constraint into the
compact SOCP form.
|
class |
SOCPSectorNeutrality
Transforms a sector neutral constraint into the compact SOCP form.
|
class |
SOCPSelfFinancing
Transforms a self financing constraint into the compact SOCP form.
|
class |
SOCPZeroValue
Transforms a zero value constraint into the compact SOCP form.
|
Modifier and Type | Class and Description |
---|---|
class |
SOCPNoTradingList2
Transforms a black list (not to trade a new position) constraint into the
compact SOCP form.
|
class |
SOCPSectorExposure
Transforms a sector exposure constraint into the compact SOCP form.
|
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