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 class
PortfolioRiskExactSigma.DefaultRoot
Computes the matrix root by Cholesky and on failure by MatrixRootByDiagonalization.static class
PortfolioRiskExactSigma.Diagonalization
Computes 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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