public class MVOptimizerShrankMean extends Object implements MVOptimizer
| Constructor and Description |
|---|
MVOptimizerShrankMean(MVOptimizer mvOptimizer,
double shrinkage) |
| Modifier and Type | Method and Description |
|---|---|
Vector |
optimalWeights(Vector mu0,
Matrix V,
double lambda,
double eta)
Solves for the optimal weights given the moments, lambda, and eta.
|
public MVOptimizerShrankMean(MVOptimizer mvOptimizer, double shrinkage)
public Vector optimalWeights(Vector mu0, Matrix V, double lambda, double eta)
MVOptimizeroptimalWeights in interface MVOptimizermu0 - the expected returnsV - the covariance matrixlambda - the risk-aversion index λeta - ηCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.