Interface MVOptimizer

    • 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