public class Lai2010NPEBModel extends Object
Modifier and Type | Class and Description |
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static class |
Lai2010NPEBModel.OptimalWeights |
Constructor and Description |
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Lai2010NPEBModel(MVOptimizer optimizer,
int nBootstraps)
Constructs an instance of the model using
MomentsEstimatorLedoitWolf as the default estimator of
covariance matrix, and assuming IID for each individual asset for
re-sampling.
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Lai2010NPEBModel(MVOptimizer mvOptimizer,
int nBootstraps,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
CetaMaximizer cetaMaximizer)
Constructs an instance of the model.
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Modifier and Type | Method and Description |
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Lai2010NPEBModel.OptimalWeights |
optimalWeights(Matrix returns,
double lambda)
Computes the weights based on given historical returns and the
risk-aversion index λ.
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public Lai2010NPEBModel(MVOptimizer optimizer, int nBootstraps)
optimizer
- an optimizer to compute optimal weightsnBootstraps
- the number of bootstraps to be usedpublic Lai2010NPEBModel(MVOptimizer mvOptimizer, int nBootstraps, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, CetaMaximizer cetaMaximizer)
mvOptimizer
- an optimizer to compute optimal weightsnBootstraps
- the number of bootstraps to be usedreturnsMomentsEstimator
- an estimator of covariance matrixresamplerFactory
- the resampling mechanismcetaMaximizer
- a maximizer for the C-eta functionpublic Lai2010NPEBModel.OptimalWeights optimalWeights(Matrix returns, double lambda)
returns
- the historical returns matrixlambda
- the risk-aversion indexCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.