Class MVOptimizerLongOnly
java.lang.Object
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerLongOnly
- All Implemented Interfaces:
MVOptimizer
A long-only MV optimizer.
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Field Summary
Fields inherited from class tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
w0
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Constructor Summary
Constructors -
Method Summary
Modifier and TypeMethodDescriptionoptimalWeights
(Vector mu, Matrix V, double lambda, double eta) Solves for the optimal weights given the moments, lambda, and eta.
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Constructor Details
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MVOptimizerLongOnly
public MVOptimizerLongOnly()
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Method Details
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optimalWeights
Description copied from interface:MVOptimizer
Solves for the optimal weights given the moments, lambda, and eta.- Specified by:
optimalWeights
in interfaceMVOptimizer
- Overrides:
optimalWeights
in classMVOptimizerMinWeights
- Parameters:
mu
- the expected returnsV
- the covariance matrixlambda
- the risk-aversion index λeta
- η- Returns:
- the weights
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