Class MVOptimizerNoConstraint

java.lang.Object
tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerNoConstraint
All Implemented Interfaces:
MVOptimizer

public class MVOptimizerNoConstraint extends Object implements MVOptimizer
Solves for optimal weights by closed-form expressions of w(η) when there is no limit on short selling.
  • Constructor Details

    • MVOptimizerNoConstraint

      public MVOptimizerNoConstraint()
  • 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