Uses of Interface
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizer
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Uses of MVOptimizer in tech.nmfin.portfoliooptimization
Constructors in tech.nmfin.portfoliooptimization with parameters of type MVOptimizer Constructor Description Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter) -
Uses of MVOptimizer in tech.nmfin.portfoliooptimization.lai2010
Constructors in tech.nmfin.portfoliooptimization.lai2010 with parameters of type MVOptimizer Constructor Description Lai2010NPEBModel(MVOptimizer optimizer, int nBootstraps)Constructs an instance of the model using MomentsEstimatorLedoitWolf as the default estimator of covariance matrix, and assuming IID for each individual asset for re-sampling.Lai2010NPEBModel(MVOptimizer mvOptimizer, int nBootstraps, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, CetaMaximizer cetaMaximizer)Constructs an instance of the model. -
Uses of MVOptimizer in tech.nmfin.portfoliooptimization.lai2010.ceta.npeb
Constructors in tech.nmfin.portfoliooptimization.lai2010.ceta.npeb with parameters of type MVOptimizer Constructor Description NPEBPortfolioMomentsEstimator(Matrix returns, ReturnsMoments.Estimator returnMomentsEstimator, MVOptimizer mvOptimizer, ReturnsResamplerFactory resamplerFactory, int nBootstrapSamples) -
Uses of MVOptimizer in tech.nmfin.portfoliooptimization.lai2010.optimizer
Classes in tech.nmfin.portfoliooptimization.lai2010.optimizer that implement MVOptimizer Modifier and Type Class Description classMVOptimizerLongOnlyA long-only MV optimizer.classMVOptimizerMinWeightsSolves for weights with lower bounds.classMVOptimizerNoConstraintSolves for optimal weights by closed-form expressions of w(η) when there is no limit on short selling.classMVOptimizerShrankMeanShrinks the mean towards average before passing the inputs to another MVOptimizer.Constructors in tech.nmfin.portfoliooptimization.lai2010.optimizer with parameters of type MVOptimizer Constructor Description MVOptimizerShrankMean(MVOptimizer mvOptimizer, double shrinkage)
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