MVOptimizerLongOnly (NM DEV API (v1.2.4) by NM)

java.lang.Object
- tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
- - tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerLongOnly

All Implemented Interfaces:: MVOptimizer

public class MVOptimizerLongOnly
extends MVOptimizerMinWeights

A long-only MV optimizer.

Field Summary
- Fields inherited from class tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
  w0

Constructor Summary

Constructors
Constructor Description

MVOptimizerLongOnly()

Method Summary

All Methods Instance Methods Concrete Methods
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.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- 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