Class NPEBPortfolioMomentsEstimator
- java.lang.Object
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- tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.NPEBPortfolioMomentsEstimator
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- All Implemented Interfaces:
Ceta.PortfolioMomentsEstimator
public class NPEBPortfolioMomentsEstimator extends Object implements Ceta.PortfolioMomentsEstimator
Uses Non-Parametric Empirical Bayes (NPEB) approach to estimate the first and the second moments of the weighted portfolios.
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Constructor Summary
Constructors Constructor Description NPEBPortfolioMomentsEstimator(Matrix returns, ReturnsMoments.Estimator returnMomentsEstimator, MVOptimizer mvOptimizer, ReturnsResamplerFactory resamplerFactory, int nBootstrapSamples)
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Constructor Detail
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NPEBPortfolioMomentsEstimator
public NPEBPortfolioMomentsEstimator(Matrix returns, ReturnsMoments.Estimator returnMomentsEstimator, MVOptimizer mvOptimizer, ReturnsResamplerFactory resamplerFactory, int nBootstrapSamples)
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Method Detail
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evaluate
public Ceta.PortfolioMoments evaluate(double lambda, double eta)
- Specified by:
evaluate
in interfaceCeta.PortfolioMomentsEstimator
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