Class 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 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