Class NMSAAM

    • Constructor Detail

      • NMSAAM

        public NMSAAM​(double shrinkage,
                      double riskAverse,
                      int nBoots,
                      int maxStocks,
                      double explained)
        Parameters:
        shrinkage - shrinkage
        riskAverse - risk adverse parameters; the bigger the more risk adverse
        nBoots - number of bootstrapped paths
        maxStocks - maximum number of stocks
        explained - weights explained
      • NMSAAM

        public NMSAAM​(double shrinkage,
                      double riskAverse)
      • NMSAAM

        public NMSAAM​(double riskAverse)
      • NMSAAM

        public NMSAAM​(double shrinkage,
                      double riskAverse,
                      int maxStocks)
      • NMSAAM

        public NMSAAM​(double riskAverse,
                      int maxStocks)