Package dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
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Interface Summary Interface Description PortfolioRiskExactSigma.MatrixRoot Specifies the method to compute the root of a matrix. -
Class Summary Class Description MarketImpact1 Constructs the constraint coefficient arrays of a market impact term in the compact form.PortfolioRiskExactSigma Constructs the constraint coefficient arrays of the portfolio risk term in the compact form.PortfolioRiskExactSigma.DefaultRoot Computes the matrix root by Cholesky and on failure by MatrixRootByDiagonalization.PortfolioRiskExactSigma.Diagonalization Computes the matrix root by MatrixRootByDiagonalization.SOCPPortfolioConstraint An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form: \[ ||A^{T}x+c||_{2}\leq b^{T}x+d \] or this form: /[ A^T x = c, x \in \Re^m /] or this form: /[ A^T x \leq c, x \in \Re^m /]SOCPPortfolioConstraint.Variable the variables involved inSOCPGeneralConstraints
SOCPPortfolioObjectiveFunction Constructs the objective function for portfolio optimization.SOCPPortfolioProblem Constructs an SOCP problem for portfolio optimization.SOCPPortfolioProblem1 Constructs an SOCP problem for portfolio optimization.SOCPRiskConstraint -
Exception Summary Exception Description SOCPPortfolioConstraint.ConstraintViolationException Exception thrown when a constraint is violated.