Package tech.nmfin.portfoliooptimization
Class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
- java.lang.Object
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- tech.nmfin.portfoliooptimization.PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
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- All Implemented Interfaces:
PortfolioOptimizationAlgorithm.CovarianceEstimator
- Enclosing interface:
- PortfolioOptimizationAlgorithm
public static class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator extends Object implements PortfolioOptimizationAlgorithm.CovarianceEstimator
Estimate the expected covariances of an asset using sample covariances.
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Constructor Summary
Constructors Constructor Description SampleCovarianceEstimator()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Matrix
getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)
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Method Detail
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getCovariances
public Matrix getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)
- Specified by:
getCovariances
in interfacePortfolioOptimizationAlgorithm.CovarianceEstimator
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