Class MVOptimizerLongOnly
- java.lang.Object
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- tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
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- tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerLongOnly
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- All Implemented Interfaces:
MVOptimizer
public class MVOptimizerLongOnly extends MVOptimizerMinWeights
A long-only MV optimizer.
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Field Summary
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Fields inherited from class tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
w0
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Constructor Summary
Constructors Constructor Description MVOptimizerLongOnly()
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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.
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Method Detail
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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 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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