public class Lai2010OptimizationAlgorithm extends Object implements PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup
Constructor and Description |
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Lai2010OptimizationAlgorithm(double riskParameter) |
Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
int nBootstraps,
double riskParameter) |
Modifier and Type | Method and Description |
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Vector |
getOptimalWeights(Matrix returns,
Vector weights0,
PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
org.joda.time.Interval interval)
Computes the optimal weights for the products using returns.
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public Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)
public Lai2010OptimizationAlgorithm(double riskParameter)
public Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, org.joda.time.Interval interval) throws Exception
PortfolioOptimizationAlgorithm
getOptimalWeights
in interface PortfolioOptimizationAlgorithm
returns
- the returns of the productsweights0
- the initial/current/original weightssymbolLookup
- the lookup service for product symbols and indicesinterval
- the time interval of the returns matrixException
- if fail to compute optimal weightsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.