Package | Description |
---|---|
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization |
Modifier and Type | Class and Description |
---|---|
static class |
PortfolioRiskExactSigma.DefaultRoot
Computes the matrix root by Cholesky and on failure
by MatrixRootByDiagonalization.
|
static class |
PortfolioRiskExactSigma.Diagonalization
Computes the matrix root by MatrixRootByDiagonalization.
|
Constructor and Description |
---|
PortfolioRiskExactSigma(Matrix Sigma,
PortfolioRiskExactSigma.MatrixRoot root)
Transforms the portfolio risk term, \(y^{\top}\Sigma\;y\leq t_1\), into
the standard SOCP form when the exact covariance matrix is used.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.