Package | Description |
---|---|
tech.nmfin.portfoliooptimization.markowitz | |
tech.nmfin.portfoliooptimization.markowitz.constraints |
Constructor and Description |
---|
MarkowitzByQP(Vector mu,
Matrix sigma,
QPConstraint constraints)
Constructs a Markowitz portfolio from expected future returns
and future covariance, assuming zero benchmark rate for Sharpe
ratio calculation.
|
MarkowitzByQP(Vector mu,
Matrix sigma,
QPConstraint constraints,
double benchmarkRate)
Constructs a Markowitz portfolio from expected future returns
and future covariance.
|
Modifier and Type | Class and Description |
---|---|
class |
QPMinWeights |
class |
QPNoConstraint
Deprecated.
This constraint means that you can borrow indefinitely, which makes very little
economics meaning.
|
class |
QPNoShortSelling |
class |
QPUnity |
class |
QPWeightsLimit |
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