Package tech.nmfin.portfoliooptimization
Class Lai2010OptimizationAlgorithm
- java.lang.Object
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- tech.nmfin.portfoliooptimization.Lai2010OptimizationAlgorithm
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- All Implemented Interfaces:
PortfolioOptimizationAlgorithm
public class Lai2010OptimizationAlgorithm extends Object implements PortfolioOptimizationAlgorithm
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Nested Class Summary
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Nested classes/interfaces inherited from interface tech.nmfin.portfoliooptimization.PortfolioOptimizationAlgorithm
PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup
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Constructor Summary
Constructors Constructor Description Lai2010OptimizationAlgorithm(double riskParameter)
Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Vector
getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)
Computes the optimal weights for the products using returns.
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Constructor Detail
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Lai2010OptimizationAlgorithm
public Lai2010OptimizationAlgorithm(MVOptimizer mvOptimizer, ReturnsMoments.Estimator returnsMomentsEstimator, ReturnsResamplerFactory resamplerFactory, int nBootstraps, double riskParameter)
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Lai2010OptimizationAlgorithm
public Lai2010OptimizationAlgorithm(double riskParameter)
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Method Detail
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getOptimalWeights
public Vector getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval) throws Exception
Description copied from interface:PortfolioOptimizationAlgorithm
Computes the optimal weights for the products using returns.- Specified by:
getOptimalWeights
in interfacePortfolioOptimizationAlgorithm
- Parameters:
returns
- the returns of the productsweights0
- the initial/current/original weightssymbolLookup
- the lookup service for product symbols and indicesinterval
- the time interval of the returns matrix- Returns:
- the optimal weights
- Throws:
Exception
- if fail to compute optimal weights
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