Uses of Class
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPRiskConstraint
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Packages that use SOCPRiskConstraint Package Description dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization -
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Uses of SOCPRiskConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
Subclasses of SOCPRiskConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization Modifier and Type Class Description classPortfolioRiskExactSigmaConstructs the constraint coefficient arrays of the portfolio risk term in the compact form.Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type SOCPRiskConstraint Constructor Description SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioObjectiveFunction(Matrix returns, double lambda, SOCPRiskConstraint risk)Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioObjectiveFunction(Vector r_bar, double lambda, SOCPRiskConstraint risk)Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.
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