public class PortfolioUtils extends Object
Modifier and Type | Method and Description |
---|---|
static double |
getPortfolioReturns(Vector weights,
Vector mu)
Computes the expected portfolio return.
|
static double |
getPortfolioVariance(Vector weights,
Matrix sigma)
Computes the portfolio variance.
|
static double |
getSharpeRatio(Vector weights,
Vector mu,
Matrix sigma,
double benchmarkRate)
Computes the portfolio Sharpe ratio.
|
public static double getPortfolioReturns(Vector weights, Vector mu)
weights
- the weights of assetsmu
- the expected returns of assetspublic static double getPortfolioVariance(Vector weights, Matrix sigma)
weights
- the weights of assetssigma
- the covariances of assetspublic static double getSharpeRatio(Vector weights, Vector mu, Matrix sigma, double benchmarkRate)
weights
- the weights of assetsmu
- the expected returns of assetssigma
- the covariances of assetsbenchmarkRate
- the risk free/benchmark rateCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.