Uses of Interface
tech.nmfin.portfoliooptimization.corvalan2005.diversification.DiversificationMeasure
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Packages that use DiversificationMeasure Package Description tech.nmfin.portfoliooptimization.corvalan2005 tech.nmfin.portfoliooptimization.corvalan2005.diversification -
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Uses of DiversificationMeasure in tech.nmfin.portfoliooptimization.corvalan2005
Constructors in tech.nmfin.portfoliooptimization.corvalan2005 with parameters of type DiversificationMeasure Constructor Description Corvalan2005(Minimizer<? super ConstrainedOptimProblem,IterativeSolution<Vector>> minimizer, DiversificationMeasure diversificationMeasure, double deltaSigma, double deltaR)
Constructs an instance of the Corvalan model. -
Uses of DiversificationMeasure in tech.nmfin.portfoliooptimization.corvalan2005.diversification
Classes in tech.nmfin.portfoliooptimization.corvalan2005.diversification that implement DiversificationMeasure Modifier and Type Class Description class
ProductOfWeights
Defines portfolio diversification as \[ D(w) = \prod_i w_i \]class
SumOfPoweredWeights
Defines portfolio diversification as \[ D(w) = \sum_i w_i^P \]class
SumOfSquaredWeights
Defines portfolio diversification as \[ D(w) = \sum_i w_i^2 \]class
SumOfWLogW
Defines portfolio diversification as \[ D(w) = \sum_i w_i \ln(w_i) \]
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