Package tech.nmfin.portfoliooptimization
Interface PortfolioOptimizationAlgorithm.CovarianceEstimator
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- All Known Implementing Classes:
PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
- Enclosing interface:
- PortfolioOptimizationAlgorithm
public static interface PortfolioOptimizationAlgorithm.CovarianceEstimator
Define how the expected covariances of an asset for a future period is computed. The default is to use LedoitWolf2004.
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Method Summary
All Methods Instance Methods Default Methods Modifier and Type Method Description default Matrix
getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)
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Method Detail
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getCovariances
default Matrix getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)
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