dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization

Class SOCPPortfolioConstraint

java.lang.Object

dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction

Direct Known Subclasses:

MarketImpact1, SOCPLinearBlackList, SOCPLinearMaximumLoan, SOCPLinearSectorExposure, SOCPLinearSectorNeutrality, SOCPLinearSelfFinancing, SOCPLinearZeroValue, SOCPMaximumLoan, SOCPNoTradingList1, SOCPNoTradingList2, SOCPRiskConstraint, SOCPSectorExposure, SOCPSectorNeutrality, SOCPSelfFinancing, SOCPZeroValue

public abstract class SOCPPortfolioConstraint
extends Object
implements RealScalarFunction

An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form: \[ ||A^{T}x+c||_{2}\leq b^{T}x+d \] or this form: \[ A^T x = c, x \in \Re^m \] or this form: \[ A^T x \leq c, x \in \Re^m \]

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	SOCPPortfolioConstraint.ConstraintViolationException Exception thrown when a constraint is violated.
static class	SOCPPortfolioConstraint.Variable the variables involved in SOCPGeneralConstraints

Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException

Constructor Summary

Constructors

Constructor and Description
SOCPPortfolioConstraint()

Method Summary

Modifier and Type	Method and Description
abstract boolean	areAllConstraintsSatisfied(Vector y) Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.
Collection<SOCPGeneralConstraints>	generalConstraints()
List<SOCPPortfolioConstraint.Variable>	getVariables(SOCPConstraints constraints) Gets the variables involved in SOCPGeneralConstraints.
Collection<SOCPLinearEqualities>	linearEqualities()
Collection<SOCPLinearInequalities>	linearInequalities()
SOCPGeneralConstraints	newSOCPGeneralConstraints(SOCPPortfolioConstraint.Variable... vars) Creates a new SOCPGeneralConstraints so we can add SOCPGeneralConstraint to it.
SOCPLinearEqualities	newSOCPLinearEqualities(SOCPPortfolioConstraint.Variable... vars)
SOCPLinearInequalities	newSOCPLinearInequalities(SOCPPortfolioConstraint.Variable... vars)

Methods inherited from class java.lang.Object

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

Methods inherited from interface dev.nm.analysis.function.Function

dimensionOfDomain, dimensionOfRange, evaluate

Constructor Detail

SOCPPortfolioConstraint

public SOCPPortfolioConstraint()

Method Detail

newSOCPGeneralConstraints

public SOCPGeneralConstraints newSOCPGeneralConstraints(SOCPPortfolioConstraint.Variable... vars)

Creates a new SOCPGeneralConstraints so we can add SOCPGeneralConstraint to it.

Parameters:

vars - the variables involved in this SOCPGeneralConstraints

Returns:

the reference to the newly created SOCPGeneralConstraints

generalConstraints

public Collection<SOCPGeneralConstraints> generalConstraints()

newSOCPLinearEqualities

public SOCPLinearEqualities newSOCPLinearEqualities(SOCPPortfolioConstraint.Variable... vars)

linearEqualities

public Collection<SOCPLinearEqualities> linearEqualities()

newSOCPLinearInequalities

public SOCPLinearInequalities newSOCPLinearInequalities(SOCPPortfolioConstraint.Variable... vars)

linearInequalities

public Collection<SOCPLinearInequalities> linearInequalities()

getVariables

public List<SOCPPortfolioConstraint.Variable> getVariables(SOCPConstraints constraints)

Gets the variables involved in SOCPGeneralConstraints.

Parameters:

constraints - the SOCP constraints

Returns:

the variables involved in the SOCP constraints

areAllConstraintsSatisfied

public abstract boolean areAllConstraintsSatisfied(Vector y)
                                            throws SOCPPortfolioConstraint.ConstraintViolationException

Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.

Parameters:

y - a portfolio solution or allocation; the asset weights

Returns:

true if and only if all SOCP constraints are satisfied

Throws:

SOCPPortfolioConstraint.ConstraintViolationException