Uses of Package
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
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Classes in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization used by dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization Class Description PortfolioRiskExactSigma.MatrixRoot Specifies the method to compute the root of a matrix.SOCPPortfolioConstraint An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form: \[ ||A^{T}x+c||_{2}\leq b^{T}x+d \] or this form: /[ A^T x = c, x \in \Re^m /] or this form: /[ A^T x \leq c, x \in \Re^m /]SOCPPortfolioConstraint.ConstraintViolationException Exception thrown when a constraint is violated.SOCPPortfolioConstraint.Variable the variables involved inSOCPGeneralConstraints
SOCPPortfolioObjectiveFunction Constructs the objective function for portfolio optimization.SOCPRiskConstraint -
Classes in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization used by tech.nmfin.portfoliooptimization.socp.constraints Class Description SOCPPortfolioConstraint An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form: \[ ||A^{T}x+c||_{2}\leq b^{T}x+d \] or this form: /[ A^T x = c, x \in \Re^m /] or this form: /[ A^T x \leq c, x \in \Re^m /]SOCPPortfolioConstraint.ConstraintViolationException Exception thrown when a constraint is violated. -
Classes in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization used by tech.nmfin.portfoliooptimization.socp.constraints.ybar Class Description SOCPPortfolioConstraint An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form: \[ ||A^{T}x+c||_{2}\leq b^{T}x+d \] or this form: /[ A^T x = c, x \in \Re^m /] or this form: /[ A^T x \leq c, x \in \Re^m /]SOCPPortfolioConstraint.ConstraintViolationException Exception thrown when a constraint is violated.