Package | Description |
---|---|
tech.nmfin.portfoliooptimization.corvalan2005 | |
tech.nmfin.portfoliooptimization.corvalan2005.constraint |
Modifier and Type | Method and Description |
---|---|
Vector |
Corvalan2005.getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r)
Finds the optimal weights for a diversified portfolio.
|
Vector |
Corvalan2005.getDiversifiedWeights(Corvalan2005.WeightsConstraint constraint,
Vector weights0,
Matrix sigma,
Vector r,
EqualityConstraints extraEqualityConstraints,
LessThanConstraints extraLessThanConstraints)
Finds the optimal weights for a diversified portfolio.
|
Modifier and Type | Class and Description |
---|---|
class |
MinimumWeights
This constraint puts lower bounds on weights.
|
class |
NoConstraints
Weights are unconstrained and NoConstraints.constraints() returns
null . |
class |
NoShortSelling
Weights cannot be negative.
|
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