public class MVOptimizerMinWeights extends Object implements MVOptimizer
Constructor and Description |
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MVOptimizerMinWeights(Vector w0)
Constructs the solver with a constraint on the minimum weights (w ≥
w0).
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Modifier and Type | Method and Description |
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Vector |
optimalWeights(Vector mu,
Matrix V,
double lambda,
double eta)
Solves for the optimal weights given the moments, lambda, and eta.
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protected Vector w0
public MVOptimizerMinWeights(Vector w0)
w0
- the minimum weightspublic Vector optimalWeights(Vector mu, Matrix V, double lambda, double eta)
MVOptimizer
optimalWeights
in interface MVOptimizer
mu
- the expected returnsV
- the covariance matrixlambda
- the risk-aversion index λeta
- ηCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.