Package | Description |
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dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization |
Modifier and Type | Class and Description |
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class |
PortfolioRiskExactSigma
Constructs the constraint coefficient arrays of the portfolio risk term in
the compact form.
|
Constructor and Description |
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SOCPPortfolioObjectiveFunction(Matrix returns,
double[] lambda,
SOCPRiskConstraint risk,
SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
|
SOCPPortfolioObjectiveFunction(Matrix returns,
double lambda,
SOCPRiskConstraint risk)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem
without a market impact term.
|
SOCPPortfolioObjectiveFunction(Vector r_bar,
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)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem
without a market impact term.
|
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