Package tech.nmfin.portfoliooptimization.lai2010.optimizer

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 Summary

Fields

Modifier and Type	Field	Description
protected Vector	w0

Constructor Summary

Constructors

Constructor	Description
MVOptimizerMinWeights(Vector w0)	Constructs the solver with a constraint on the minimum weights (w ≥ w0).

Method Summary

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

Field Detail

w0

protected Vector w0

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.

Parameters:

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

Parameters:

mu - the expected returns

V - the covariance matrix

lambda - the risk-aversion index λ

eta - η

Returns:

the weights