public class NMSAAM extends Object implements PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup
Constructor and Description |
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NMSAAM(double riskAverse) |
NMSAAM(double shrinkage,
double riskAverse) |
NMSAAM(double shrinkage,
double riskAverse,
int maxStocks) |
NMSAAM(double shrinkage,
double riskAverse,
int nBoots,
int maxStocks,
double explained) |
NMSAAM(double riskAverse,
int maxStocks) |
Modifier and Type | Method and Description |
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Vector |
getOptimalWeights(Matrix returns,
Vector weights0,
PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
org.joda.time.Interval interval)
Computes the optimal weights for the products using returns.
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public NMSAAM(double shrinkage, double riskAverse, int nBoots, int maxStocks, double explained)
shrinkage
- shrinkageriskAverse
- risk adverse parameters; the bigger the more risk
adversenBoots
- number of bootstrapped pathsmaxStocks
- maximum number of stocksexplained
- weights explainedpublic NMSAAM(double shrinkage, double riskAverse)
public NMSAAM(double riskAverse)
public NMSAAM(double shrinkage, double riskAverse, int maxStocks)
public NMSAAM(double riskAverse, int maxStocks)
public Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval) throws Exception
PortfolioOptimizationAlgorithm
getOptimalWeights
in interface PortfolioOptimizationAlgorithm
returns
- the returns of the productsweights0
- the initial/current/original weightssymbolLookup
- the lookup service for product symbols and indicesinterval
- the time interval of the returns matrixException
- if fail to compute optimal weightsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.