Class MVOptimizerMinWeights
java.lang.Object
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights
- All Implemented Interfaces:
MVOptimizer
- Direct Known Subclasses:
MVOptimizerLongOnly
Solves for weights with lower bounds.
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Field Summary
Fields -
Constructor Summary
ConstructorsConstructorDescriptionConstructs the solver with a constraint on the minimum weights (w ≥ w0). -
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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Field Details
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w0
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Constructor Details
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MVOptimizerMinWeights
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
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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
- Parameters:
mu
- the expected returnsV
- the covariance matrixlambda
- the risk-aversion index λeta
- η- Returns:
- the weights
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