Class MVOptimizerMinWeights

java.lang.Object
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
All Implemented Interfaces:
MVOptimizer
Direct Known Subclasses:
MVOptimizerLongOnly

public class MVOptimizerMinWeights extends Object implements MVOptimizer
Solves for weights with lower bounds.
  • Field Details

  • Constructor Details

    • MVOptimizerMinWeights

      public MVOptimizerMinWeights(Vector w0)
      Constructs the solver with a constraint on the minimum weights (w ≥ w0). For example, a zero vector indicates a no short-selling constraint.
      Parameters:
      w0 - the minimum weights
  • Method Details

    • 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
      Parameters:
      mu - the expected returns
      V - the covariance matrix
      lambda - the risk-aversion index λ
      eta - η
      Returns:
      the weights