tech.nmfin.algoquant.demo.model.portfoliooptimization

Class CovarianceComparisonDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.CovarianceComparisonDemo

public class CovarianceComparisonDemo
extends Object

Using this example. Compares covariance calculations for the data assembled in main. Keep the observations-by- assets orientation consistent across estimators; covariance estimates are inputs to portfolio optimization, not strategy performance measures.

Model and publication. Related theory and the scope of this example are distinguished below.

Implementation in this tutorial. This example compares estimators; it does not define a stand-alone trading model. Covariance summarizes joint variability of returns, so data frequency, demeaning, sample size and asset ordering affect the optimizer input. Inspect each estimator invoked before interpreting a numerical difference.

Author:

haksunli

Constructor Summary

Constructors

Constructor and Description
CovarianceComparisonDemo(long seeds)

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CovarianceComparisonDemo

public CovarianceComparisonDemo(long seeds)

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception