public static class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator extends Object implements PortfolioOptimizationAlgorithm.CovarianceEstimator
| Constructor and Description |
|---|
SampleCovarianceEstimator() |
| Modifier and Type | Method and Description |
|---|---|
Matrix |
getCovariances(Matrix returns,
PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
org.joda.time.Interval interval) |
public Matrix getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval)
getCovariances in interface PortfolioOptimizationAlgorithm.CovarianceEstimatorCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.