public class Corvalan2005 extends Object
DiversificationMeasure
).Modifier and Type | Class and Description |
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static interface |
Corvalan2005.WeightsConstraint
Constraints on weights which are defined by a set of less-than constraints.
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Constructor and Description |
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Corvalan2005(double deltaSigma,
double deltaR)
Constructs an instance of the Corvalan model.
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Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer,
DiversificationMeasure diversificationMeasure,
double deltaSigma,
double deltaR)
Constructs an instance of the Corvalan model.
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Modifier and Type | Method and Description |
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Vector |
getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r)
Finds the optimal weights for a diversified portfolio.
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Vector |
getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r,
EqualityConstraints extraEqualityConstraints,
LessThanConstraints extraLessThanConstraints)
Finds the optimal weights for a diversified portfolio.
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public Corvalan2005(double deltaSigma, double deltaR)
deltaSigma
- the relaxation of portfolio volatilitydeltaR
- the relaxation of portfolio returnpublic Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer, DiversificationMeasure diversificationMeasure, double deltaSigma, double deltaR)
minimizer
- the optimizerdiversificationMeasure
- the diversification measuredeltaSigma
- the relaxation of portfolio volatilitydeltaR
- the relaxation of portfolio returnpublic Vector getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint, Vector weights0, Matrix sigma, Vector r) throws Exception
constraint
- the weight constraintsweights0
- the original optimal weightssigma
- the covariance matrix of asset returnsr
- the expected asset returnsException
- when the optimizer fails to find a solutionpublic Vector getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint, Vector weights0, Matrix sigma, Vector r, EqualityConstraints extraEqualityConstraints, LessThanConstraints extraLessThanConstraints) throws Exception
constraint
- the weight constraintsweights0
- the original optimal weightssigma
- the covariance matrix of asset returnsr
- the expected asset returnsextraEqualityConstraints
- the additional equality constraintsextraLessThanConstraints
- the additional less-than constraintsException
- when the optimizer fails to find a solutionCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.