public class MVOptimizerLongOnly extends MVOptimizerMinWeights
w0
Constructor and Description |
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MVOptimizerLongOnly() |
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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public Vector optimalWeights(Vector mu, Matrix V, double lambda, double eta)
MVOptimizer
optimalWeights
in interface MVOptimizer
optimalWeights
in class MVOptimizerMinWeights
mu
- the expected returnsV
- the covariance matrixlambda
- the risk-aversion index λeta
- ηCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.