Package tech.nmfin.portfoliooptimization
Class Lai2010OptimizationAlgorithm
- java.lang.Object
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- tech.nmfin.portfoliooptimization.Lai2010OptimizationAlgorithm
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- All Implemented Interfaces:
PortfolioOptimizationAlgorithm
public class Lai2010OptimizationAlgorithm extends Object implements PortfolioOptimizationAlgorithm
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Nested Class Summary
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Nested classes/interfaces inherited from interface tech.nmfin.portfoliooptimization.PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup
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Constructor Summary
Constructors Constructor Description Lai2010OptimizationAlgorithm(double riskParameter)Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description VectorgetOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)Computes the optimal weights for the products using returns.
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Constructor Detail
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Lai2010OptimizationAlgorithm
public Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)
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Lai2010OptimizationAlgorithm
public Lai2010OptimizationAlgorithm(double riskParameter)
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Method Detail
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getOptimalWeights
public Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval) throws Exception
Description copied from interface:PortfolioOptimizationAlgorithmComputes the optimal weights for the products using returns.- Specified by:
getOptimalWeightsin interfacePortfolioOptimizationAlgorithm- Parameters:
returns- the returns of the productsweights0- the initial/current/original weightssymbolLookup- the lookup service for product symbols and indicesinterval- the time interval of the returns matrix- Returns:
- the optimal weights
- Throws:
Exception- if fail to compute optimal weights
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