public class SOCPPortfolioObjectiveFunction extends Object implements RealScalarFunction
By letting \(y=x+w^{0}\), the objective function becomes: \[ -\bar{r}^{\top}y+\lambda_rt_1+\lambda_ct_2 \]
Function.EvaluationException
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.
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SOCPPortfolioObjectiveFunction(Matrix returns,
double lambda,
SOCPRiskConstraint risk)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem
without a market impact term.
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SOCPPortfolioObjectiveFunction(Vector r_bar,
double[] lambda,
SOCPRiskConstraint risk,
SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
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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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Modifier and Type | Method and Description |
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Vector |
b()
Gets the objective vector, b, in the compact form.
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int |
dimensionOfDomain()
Get the number of variables the function has.
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int |
dimensionOfRange()
Get the dimension of the range space of the function.
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Double |
evaluate(Vector y)
Computes the final objective function value.
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List<SOCPPortfolioConstraint> |
getPortfolioConstraints()
Gets the portfolio constraints represented in the objective function.
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List<SOCPPortfolioConstraint.Variable> |
getVariables()
Gets the variables involved in the portfolio constraints implied by the objective function.
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public SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
returns
- the return matrixlambda
- the coefficients of the portfolio risk and market impact termsrisk
- the portfolio risk termimpact
- the market impact termpublic SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
r_bar
- the vector of average returnslambda
- the coefficients of the portfolio risk and market impact termsrisk
- the portfolio risk termimpact
- the market impact termpublic SOCPPortfolioObjectiveFunction(Matrix returns, double lambda, SOCPRiskConstraint risk)
returns
- the return matrixlambda
- the coefficients of the portfolio risk termsrisk
- the portfolio risk termpublic SOCPPortfolioObjectiveFunction(Vector r_bar, double lambda, SOCPRiskConstraint risk)
r_bar
- the vector of average returnslambda
- the coefficients of the portfolio risk termsrisk
- the portfolio risk termpublic List<SOCPPortfolioConstraint.Variable> getVariables()
public List<SOCPPortfolioConstraint> getPortfolioConstraints()
public Vector b()
public int dimensionOfDomain()
Function
dimensionOfDomain
in interface Function<Vector,Double>
public int dimensionOfRange()
Function
dimensionOfRange
in interface Function<Vector,Double>
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