Class MVOptimizerMinWeights

    • Constructor Detail

      • 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.
        w0 - the minimum weights
    • 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
        mu - the expected returns
        V - the covariance matrix
        lambda - the risk-aversion index λ
        eta - η
        the weights