Interface | Description |
---|---|
PortfolioRiskExactSigma.MatrixRoot |
Specifies the method to compute the root of a matrix.
|
Class | Description |
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MarketImpact1 |
Constructs the constraint coefficient arrays of a market impact term in the
compact form.
|
PortfolioRiskExactSigma |
Constructs the constraint coefficient arrays of the portfolio risk term in
the compact form.
|
PortfolioRiskExactSigma.DefaultRoot |
Computes the matrix root by Cholesky and on failure
by MatrixRootByDiagonalization.
|
PortfolioRiskExactSigma.Diagonalization |
Computes the matrix root by MatrixRootByDiagonalization.
|
SOCPPortfolioConstraint |
An SOCP constraint for portfolio optimization, e.g., market impact, is
represented by a set of constraints in this form.
|
SOCPPortfolioConstraint.Variable |
the variables involved in
SOCPGeneralConstraints |
SOCPPortfolioObjectiveFunction |
Constructs the objective function for portfolio optimization.
|
SOCPPortfolioProblem |
Constructs an SOCP problem for portfolio optimization.
|
SOCPRiskConstraint |
Exception | Description |
---|---|
SOCPPortfolioConstraint.ConstraintViolationException |
Exception thrown when a constraint is violated.
|
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