Uses of Class
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint
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Uses of SOCPPortfolioConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization
Subclasses of SOCPPortfolioConstraint in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization Modifier and Type Class Description class
MarketImpact1
Constructs the constraint coefficient arrays of a market impact term in the compact form.class
PortfolioRiskExactSigma
Constructs the constraint coefficient arrays of the portfolio risk term in the compact form.class
SOCPRiskConstraint
Methods in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization that return types with arguments of type SOCPPortfolioConstraint Modifier and Type Method Description List<SOCPPortfolioConstraint>
SOCPPortfolioObjectiveFunction. getPortfolioConstraints()
Gets the portfolio constraints represented in the objective function.List<SOCPPortfolioConstraint>
SOCPPortfolioProblem. getPortfolioConstraints()
Gets the portfolio constraints.List<SOCPPortfolioConstraint>
SOCPPortfolioProblem1. getPortfolioConstraints()
Gets the portfolio constraints.Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type SOCPPortfolioConstraint Constructor Description SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
Constructs the objective function for an SOCP portfolio optimization (minimization) problem.SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints)
Constructs an SOCP problem for portfolio optimization.SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints)
Constructs an SOCP problem for portfolio optimization.Constructor parameters in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with type arguments of type SOCPPortfolioConstraint Constructor Description SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints)
Constructs an SOCP problem for portfolio optimization.SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints)
Constructs an SOCP problem for portfolio optimization. -
Uses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints
Subclasses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints Modifier and Type Class Description class
SOCPLinearBlackList
A black list means that the positions of some assets must be zero.class
SOCPLinearMaximumLoan
A maximum loan constraint.class
SOCPLinearSectorNeutrality
A sector neutrality means that the sum of weights for given sectors are zero.class
SOCPLinearSelfFinancing
A self financing constraint.class
SOCPLinearZeroValue
A zero value constraint.class
SOCPMaximumLoan
Transforms a maximum loan constraint into the compact SOCP form.class
SOCPNoTradingList1
Transforms a black list (not to trade a new position) constraint into the compact SOCP form.class
SOCPSectorNeutrality
Transforms a sector neutral constraint into the compact SOCP form.class
SOCPSelfFinancing
Transforms a self financing constraint into the compact SOCP form.class
SOCPZeroValue
Transforms a zero value constraint into the compact SOCP form. -
Uses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints.ybar
Subclasses of SOCPPortfolioConstraint in tech.nmfin.portfoliooptimization.socp.constraints.ybar Modifier and Type Class Description class
SOCPLinearSectorExposure
A sector exposure constraint.class
SOCPNoTradingList2
Transforms a black list (not to trade a new position) constraint into the compact SOCP form.class
SOCPSectorExposure
Transforms a sector exposure constraint into the compact SOCP form.
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