Package tech.nmfin.portfoliooptimization.lai2010.optimizer
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Interface Summary Interface Description MVOptimizer Solves for the optimal weight using Mean-Variance optimization. -
Class Summary Class Description MVOptimizerLongOnly A long-only MV optimizer.MVOptimizerMinWeights Solves for weights with lower bounds.MVOptimizerNoConstraint Solves for optimal weights by closed-form expressions of w(η) when there is no limit on short selling.MVOptimizerShrankMean Shrinks the mean towards average before passing the inputs to another MVOptimizer.