Constructor and Description |
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Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
int nBootstraps,
double riskParameter) |
Constructor and Description |
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Lai2010NPEBModel(MVOptimizer mvOptimizer,
int nBootstraps,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
CetaMaximizer cetaMaximizer)
Constructs an instance of the model.
|
Constructor and Description |
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NPEBPortfolioMomentsEstimator(Matrix returns,
ReturnsMoments.Estimator returnMomentsEstimator,
MVOptimizer mvOptimizer,
ReturnsResamplerFactory resamplerFactory,
int nBootstrapSamples) |
Modifier and Type | Class and Description |
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class |
SimpleAR1Moments |
class |
SimpleGARCHMoments1
Estimates the moments by GARCH model.
|
class |
SimpleGARCHMoments2
Estimates the moments by GARCH model.
|
Modifier and Type | Class and Description |
---|---|
class |
MomentsEstimatorLedoitWolf
Estimates the first two moments of returns using
Ledoit-Wolf 2004.
|
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