Package | Description |
---|---|
tech.nmfin.portfoliooptimization.corvalan2005 | |
tech.nmfin.portfoliooptimization.corvalan2005.diversification |
Constructor and Description |
---|
Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer,
DiversificationMeasure diversificationMeasure,
double deltaSigma,
double deltaR)
Constructs an instance of the Corvalan model.
|
Modifier and Type | Class and Description |
---|---|
class |
ProductOfWeights
Defines portfolio diversification as
\[
D(w) = \prod_i w_i
\]
|
class |
SumOfPoweredWeights
Defines portfolio diversification as
\[
D(w) = \sum_i w_i^P
\]
|
class |
SumOfSquaredWeights
Defines portfolio diversification as
\[
D(w) = \sum_i w_i^2
\]
|
class |
SumOfWLogW
Defines portfolio diversification as
\[
D(w) = \sum_i w_i \ln(w_i)
\]
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.