Class Lai2010NPEBModel


  • public class Lai2010NPEBModel
    extends Object
    The Non-Parametric Empirical Bayes (NPEB) model described in the reference computes the optimal weights for asset allocation.
    See Also:
    • "Tze Leung Lai, Haipeng Xing, Zehao Chen. "Mean-variance portfolio optimization when means and covariances are unknown," Annals of Applied Statistics 2011, Vol. 5, No. 2A, p. 798-823"
    • MATLAB code
    • Constructor Detail

      • Lai2010NPEBModel

        public Lai2010NPEBModel​(MVOptimizer optimizer,
                                int nBootstraps)
        Constructs an instance of the model using MomentsEstimatorLedoitWolf as the default estimator of covariance matrix, and assuming IID for each individual asset for re-sampling.
        Parameters:
        optimizer - an optimizer to compute optimal weights
        nBootstraps - the number of bootstraps to be used
      • Lai2010NPEBModel

        public Lai2010NPEBModel​(MVOptimizer mvOptimizer,
                                int nBootstraps,
                                ReturnsMoments.Estimator returnsMomentsEstimator,
                                ReturnsResamplerFactory resamplerFactory,
                                CetaMaximizer cetaMaximizer)
        Constructs an instance of the model.
        Parameters:
        mvOptimizer - an optimizer to compute optimal weights
        nBootstraps - the number of bootstraps to be used
        returnsMomentsEstimator - an estimator of covariance matrix
        resamplerFactory - the resampling mechanism
        cetaMaximizer - a maximizer for the C-eta function
    • Method Detail

      • optimalWeights

        public Lai2010NPEBModel.OptimalWeights optimalWeights​(Matrix returns,
                                                              double lambda)
        Computes the weights based on given historical returns and the risk-aversion index λ.
        Parameters:
        returns - the historical returns matrix
        lambda - the risk-aversion index
        Returns:
        the optimal weight vector