Uses of Class
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint
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Uses of SOCPPortfolioConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
Subclasses of SOCPPortfolioConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization Modifier and Type Class Description classMarketImpact1Constructs the constraint coefficient arrays of a market impact term in the compact form.classPortfolioRiskExactSigmaConstructs the constraint coefficient arrays of the portfolio risk term in the compact form.classSOCPRiskConstraintMethods in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization that return types with arguments of type SOCPPortfolioConstraint Modifier and Type Method Description List<SOCPPortfolioConstraint>SOCPPortfolioObjectiveFunction. getPortfolioConstraints()Gets the portfolio constraints represented in the objective function.List<SOCPPortfolioConstraint>SOCPPortfolioProblem. getPortfolioConstraints()Gets the portfolio constraints.List<SOCPPortfolioConstraint>SOCPPortfolioProblem1. getPortfolioConstraints()Gets the portfolio constraints.Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type SOCPPortfolioConstraint Constructor Description SOCPPortfolioObjectiveFunction(Matrix returns, 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, SOCPPortfolioConstraint impact)Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints)Constructs an SOCP problem for portfolio optimization.SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints)Constructs an SOCP problem for portfolio optimization.Constructor parameters in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with type arguments of type SOCPPortfolioConstraint Constructor Description SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints)Constructs an SOCP problem for portfolio optimization.SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints)Constructs an SOCP problem for portfolio optimization. -
Uses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints
Subclasses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints Modifier and Type Class Description classSOCPLinearBlackListA black list means that the positions of some assets must be zero.classSOCPLinearMaximumLoanA maximum loan constraint.classSOCPLinearSectorNeutralityA sector neutrality means that the sum of weights for given sectors are zero.classSOCPLinearSelfFinancingA self financing constraint.classSOCPLinearZeroValueA zero value constraint.classSOCPMaximumLoanTransforms a maximum loan constraint into the compact SOCP form.classSOCPNoTradingList1Transforms a black list (not to trade a new position) constraint into the compact SOCP form.classSOCPSectorNeutralityTransforms a sector neutral constraint into the compact SOCP form.classSOCPSelfFinancingTransforms a self financing constraint into the compact SOCP form.classSOCPZeroValueTransforms a zero value constraint into the compact SOCP form. -
Uses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints.ybar
Subclasses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints.ybar Modifier and Type Class Description classSOCPLinearSectorExposureA sector exposure constraint.classSOCPNoTradingList2Transforms a black list (not to trade a new position) constraint into the compact SOCP form.classSOCPSectorExposureTransforms a sector exposure constraint into the compact SOCP form.
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