Uses of Class
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPRiskConstraint
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Packages that use SOCPRiskConstraint Package Description dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization -
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Uses of SOCPRiskConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
Subclasses of SOCPRiskConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization Modifier and Type Class Description class
PortfolioRiskExactSigma
Constructs the constraint coefficient arrays of the portfolio risk term in the compact form.Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type SOCPRiskConstraint Constructor Description SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioObjectiveFunction(Matrix returns, double lambda, SOCPRiskConstraint risk)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioObjectiveFunction(Vector r_bar, double lambda, SOCPRiskConstraint risk)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.
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