tech.nmfin.algoquant.demo.model.portfoliooptimization

Class PortfolioOptimComparisons2Demo<P extends Product>

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo<P>

Type Parameters:

P - a subtype of Product

public class PortfolioOptimComparisons2Demo<P extends Product>
extends Object

Compares the different asset allocation algorithms. Prices are from historical data.

Using this example. Compares allocation algorithms on historical price data. Some branches reference local China datasets and an absolute Windows Compustat path; choose the intended branch and configure those inputs before running. Consistent asset ordering and common estimation periods are essential to the comparison.

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

Implementation in this tutorial. Compares allocation methods on selected historical/local data. A common estimation window and asset ordering are required for a fair comparison. Several alternative dataset branches are embedded in main; results depend on the branch and its data coverage.

Author:

Ken Yiu

See Also:

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

Constructor Summary

Constructors

Constructor and Description
PortfolioOptimComparisons2Demo(Collection<NamedParam> params, DynamicCacheProvider<P> dataProvider)
PortfolioOptimComparisons2Demo(Collection<NamedParam> params, DynamicCacheProvider<P> dataProvider, TradabilityLookup tradabilityLookup)

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioOptimComparisons2Demo

public PortfolioOptimComparisons2Demo(Collection<NamedParam> params,
                                      DynamicCacheProvider<P> dataProvider)

PortfolioOptimComparisons2Demo

public PortfolioOptimComparisons2Demo(Collection<NamedParam> params,
                                      DynamicCacheProvider<P> dataProvider,
                                      TradabilityLookup tradabilityLookup)

Method Detail

run

public void run()
         throws IOException

Throws:

IOException

main

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

Throws:

IOException