Interface MVOptimizer
-
- All Known Implementing Classes:
MVOptimizerLongOnly,MVOptimizerMinWeights,MVOptimizerNoConstraint,MVOptimizerShrankMean
public interface MVOptimizerSolves for the optimal weight using Mean-Variance optimization.
-
-
Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description VectoroptimalWeights(Vector mu, Matrix V, double lambda, double eta)Solves for the optimal weights given the moments, lambda, and eta.
-