public class Lai2010OptimizationAlgorithm extends Object implements PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup| Constructor and Description |
|---|
Lai2010OptimizationAlgorithm(double riskParameter) |
Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer,
ReturnsMoments.Estimator returnsMomentsEstimator,
ReturnsResamplerFactory resamplerFactory,
int nBootstraps,
double riskParameter) |
| Modifier and Type | Method and Description |
|---|---|
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
PortfolioOptimizationAlgorithmgetOptimalWeights in interface PortfolioOptimizationAlgorithmreturns - 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.