public class MVOptimizerMinWeights extends Object implements MVOptimizer
| Constructor and Description |
|---|
MVOptimizerMinWeights(Vector w0)
Constructs the solver with a constraint on the minimum weights (w ≥
w0).
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| Modifier and Type | Method and Description |
|---|---|
Vector |
optimalWeights(Vector mu,
Matrix V,
double lambda,
double eta)
Solves for the optimal weights given the moments, lambda, and eta.
|
protected Vector w0
public MVOptimizerMinWeights(Vector w0)
w0 - the minimum weightspublic Vector optimalWeights(Vector mu, Matrix V, double lambda, double eta)
MVOptimizeroptimalWeights in interface MVOptimizermu - the expected returnsV - the covariance matrixlambda - the risk-aversion index λeta - ηCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.