Package dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization

Class SOCPPortfolioObjectiveFunction

java.lang.Object
dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioObjectiveFunction
All Implemented Interfaces:
Function<Vector,Double>, RealScalarFunction
public class SOCPPortfolioObjectiveFunction extends Object implements RealScalarFunction
Constructs the objective function for portfolio optimization. The general form is: \[ b'z = -\bar{r}^{\top}(w^0+x)+\lambda_r t_1+\lambda_c t_2 \] , where \(t_{1}\in\mathbb{R}^{1}\) and \(t_{2}\in\mathbb{R}^{1}\) are usually the portfolio risk and market impact terms respectively. \(\bar{r}\) is the expected portfolio return.

By letting \(y=x+w^{0}\), the objective function becomes: \[ -\bar{r}^{\top}y+\lambda_rt_1+\lambda_ct_2 \]

  • Constructor Details

    • SOCPPortfolioObjectiveFunction

      public SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
      Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
      Parameters:
      returns - the return matrix
      lambda - the coefficients of the portfolio risk and market impact terms
      risk - the portfolio risk term
      impact - the market impact term

    • SOCPPortfolioObjectiveFunction

      public SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact)
      Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
      Parameters:
      r_bar - the vector of average returns
      lambda - the coefficients of the portfolio risk and market impact terms
      risk - the portfolio risk term
      impact - the market impact term

    • SOCPPortfolioObjectiveFunction

      public SOCPPortfolioObjectiveFunction(Matrix returns, double lambda, SOCPRiskConstraint risk)
      Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.
      Parameters:
      returns - the return matrix
      lambda - the coefficients of the portfolio risk terms
      risk - the portfolio risk term

    • SOCPPortfolioObjectiveFunction

      public SOCPPortfolioObjectiveFunction(Vector r_bar, double lambda, SOCPRiskConstraint risk)
      Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.
      Parameters:
      r_bar - the vector of average returns
      lambda - the coefficients of the portfolio risk terms
      risk - the portfolio risk term

  • Method Details

    • getVariables

      public List<SOCPPortfolioConstraint.Variable> getVariables()
      Gets the variables involved in the portfolio constraints implied by the objective function.
      Returns:
      the variables involved in the portfolio constraints implied by the objective function

    • getPortfolioConstraints

      public List<SOCPPortfolioConstraint> getPortfolioConstraints()
      Gets the portfolio constraints represented in the objective function.
      Returns:
      the portfolio constraints represented in the objective function

    • b

      public Vector b()
      Gets the objective vector, b, in the compact form.
      Returns:
      the objective vector, b

    • evaluate

      public Double evaluate(Vector y)
      Computes the final objective function value.
      Specified by:
      evaluate in interface Function<Vector,Double>
      Parameters:
      y - the positions
      Returns:
      the objective values

    • dimensionOfDomain

      public int dimensionOfDomain()
      Description copied from interface: Function
      Get the number of variables the function has. For example, for a univariate function, the domain dimension is 1; for a bivariate function, the domain dimension is 2.
      Specified by:
      dimensionOfDomain in interface Function<Vector,Double>
      Returns:
      the number of variables

    • dimensionOfRange

      public int dimensionOfRange()
      Description copied from interface: Function
      Get the dimension of the range space of the function. For example, for a Rn->Rm function, the dimension of the range is m.
      Specified by:
      dimensionOfRange in interface Function<Vector,Double>
      Returns:
      the dimension of the range