Package tech.nmfin.portfoliooptimization.lai2010.optimizer

Interface MVOptimizer

All Known Implementing Classes:

MVOptimizerLongOnly, MVOptimizerMinWeights, MVOptimizerNoConstraint, MVOptimizerShrankMean

public interface MVOptimizer

Solves for the optimal weight using Mean-Variance optimization.

Method Summary

Modifier and Type	Method	Description
Vector	optimalWeights(Vector mu, Matrix V, double lambda, double eta)	Solves for the optimal weights given the moments, lambda, and eta.

Method Detail

optimalWeights

Vector optimalWeights(Vector mu,
                      Matrix V,
                      double lambda,
                      double eta)

Solves for the optimal weights given the moments, lambda, and eta.

Parameters:

mu - the expected returns

V - the covariance matrix

lambda - the risk-aversion index λ

eta - η

Returns:

the weights