MVOptimizerShrankMean (NM DEV API (v1.2.4) by NM)

java.lang.Object
- tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerShrankMean

All Implemented Interfaces:

MVOptimizer
```
public class MVOptimizerShrankMean
extends Object
implements MVOptimizer
```
Shrinks the mean towards average before passing the inputs to another MVOptimizer.

Constructor Summary

Constructors
Constructor Description

MVOptimizerShrankMean(MVOptimizer mvOptimizer, double shrinkage)

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`Vector`	`optimalWeights(Vector mu0, 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

- Constructor Detail
  - MVOptimizerShrankMean
```
public MVOptimizerShrankMean(MVOptimizer mvOptimizer,
                             double shrinkage)
```
- Method Detail
  - optimalWeights
```
public Vector optimalWeights(Vector mu0,
                             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:
    
    mu0 - the expected returns
    
    V - the covariance matrix
    
    lambda - the risk-aversion index λ
    
    eta - η
    
    Returns:
    
    the weights