Package tech.nmfin.algoquant.demo.model.portfoliooptimization

Class Summary

Class	Description
Corvalan2005Demo	This paper tackles the corner solution problem of many portfolio optimizers, by optimizing the portfolio diversification with some relaxation on the volatility σ and the expected return R of a given optimized (but non-diversified) portfolio.
CovarianceComparisonDemo	Using this example.
Lai2010NPEBModelDemo	Using this example.
MarkowitzBigDemo	This demo shows the performance/speed of running our implementation of Markowitz algorithm on a large pool of assets, e.g., N = 10000.
MarkowitzDemo	Using this example.
PerformanceOptimizedYahooEODPortfolioDemo	Using this example.
PortfolioOptimComparisons1Demo	This demo shows how to build customized portfolio optimization algorithms and call these optimizers for the same data set.
PortfolioOptimComparisons2Demo<P extends Product>	Compares the different asset allocation algorithms.
PortfolioOptimizationAlgorithmDemo	Shows how to compute the asset weights using a portfolio optimization algorithm.
PortfolioOptimizationBacktestDemo	Backtests a particular optimizer to see its performance over time using historical data.
RandomReturns	Generates a random return matrix.
SOCPMarkowitzComparisonDemo	We compare the results from a QP solver (Markowitz) and from an SOCP solver.