| Package | Description |
|---|---|
| dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization |
| Modifier and Type | Class and Description |
|---|---|
static class |
PortfolioRiskExactSigma.DefaultRoot
Computes the matrix root by Cholesky and on failure
by MatrixRootByDiagonalization.
|
static class |
PortfolioRiskExactSigma.Diagonalization
Computes the matrix root by MatrixRootByDiagonalization.
|
| Constructor and Description |
|---|
PortfolioRiskExactSigma(Matrix Sigma,
PortfolioRiskExactSigma.MatrixRoot root)
Transforms the portfolio risk term, \(y^{\top}\Sigma\;y\leq t_1\), into
the standard SOCP form when the exact covariance matrix is used.
|
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