Class MVOptimizerLongOnly

    • Constructor Detail

      • MVOptimizerLongOnly

        public MVOptimizerLongOnly()
    • Method Detail

      • optimalWeights

        public Vector optimalWeights​(Vector mu,
                                     Matrix V,
                                     double lambda,
                                     double eta)
        Description copied from interface: MVOptimizer
        Solves for the optimal weights given the moments, lambda, and eta.
        Specified by:
        optimalWeights in interface MVOptimizer
        Overrides:
        optimalWeights in class MVOptimizerMinWeights
        Parameters:
        mu - the expected returns
        V - the covariance matrix
        lambda - the risk-aversion index λ
        eta - η
        Returns:
        the weights