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

Class SOCPRiskConstraint

java.lang.Object

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

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

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction

Direct Known Subclasses:

PortfolioRiskExactSigma

public abstract class SOCPRiskConstraint
extends SOCPPortfolioConstraint

Nested Class Summary

Nested classes/interfaces inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable

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

Function.EvaluationException

Constructor Summary

Constructors

Constructor and Description
SOCPRiskConstraint()

Method Summary

Modifier and Type	Method and Description
abstract Matrix	Sigma()

Methods inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

areAllConstraintsSatisfied, generalConstraints, getVariables, linearEqualities, linearInequalities, newSOCPGeneralConstraints, newSOCPLinearEqualities, newSOCPLinearInequalities

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

SOCPRiskConstraint

public SOCPRiskConstraint()

Method Detail

Sigma

public abstract Matrix Sigma()