Uses of Interface
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.PortfolioRiskExactSigma.MatrixRoot
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Packages that use PortfolioRiskExactSigma.MatrixRoot Package Description dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization -
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Uses of PortfolioRiskExactSigma.MatrixRoot in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
Classes in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization that implement PortfolioRiskExactSigma.MatrixRoot Modifier and Type Class Description static classPortfolioRiskExactSigma.DefaultRootComputes the matrix root by Cholesky and on failure by MatrixRootByDiagonalization.static classPortfolioRiskExactSigma.DiagonalizationComputes the matrix root by MatrixRootByDiagonalization.Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type PortfolioRiskExactSigma.MatrixRoot Constructor Description PortfolioRiskExactSigma(Matrix Sigma, PortfolioRiskExactSigma.MatrixRoot root)Transforms the portfolio risk term, \(y^{\top}\Sigma\;y\leq t_1\), into the standard SOCP form when the exact covariance matrix is used.
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