Package tech.nmfin.portfoliooptimization
Class TopNOptimizationAlgorithm
- java.lang.Object
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- tech.nmfin.portfoliooptimization.TopNOptimizationAlgorithm
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- All Implemented Interfaces:
PortfolioOptimizationAlgorithm
public class TopNOptimizationAlgorithm 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 TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo, int N, double B)
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Method Summary
All Methods Static 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.static Vector
getTopN(Vector w0, int N, double B)
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Constructor Detail
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TopNOptimizationAlgorithm
public TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo, int N, double B)
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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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