tech.nmfin.algoquant.demo.model.portfoliooptimization

Class MarkowitzDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemo

@Demo
public class MarkowitzDemo
extends Object

Using this example. Builds a Markowitz allocation from Yahoo history and the risk parameter in main. Asset ordering in the return matrix must match the products associated with the resulting weights. The optimizer computes weights; converting them to executable trades is a separate step.

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

Implementation in this tutorial. Trades off expected return against covariance-based portfolio risk. The historical optimizer example estimates inputs from Yahoo observations, chooses a risk parameter and computes weights. Mean estimates and covariance uncertainty are not eliminated by solving the quadratic program.

Author:

Chung Lee

See Also:

H. Markowitz (1952), Portfolio Selection, Journal of Finance 7(1), 77–91

Constructor Summary

Constructors

Constructor and Description
MarkowitzDemo()

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

MarkowitzDemo

public MarkowitzDemo()

Method Detail

main

public static void main(String[] args)