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

Packages that use SOCPRiskConstraint

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

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

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

Modifier and Type	Class and Description
class	PortfolioRiskExactSigma Constructs the constraint coefficient arrays of the portfolio risk term in the compact form.

Constructors in dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization with parameters of type SOCPRiskConstraint

Constructor and Description
SOCPPortfolioObjectiveFunction(Matrix returns, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact) Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
SOCPPortfolioObjectiveFunction(Matrix returns, double lambda, SOCPRiskConstraint risk) Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.
SOCPPortfolioObjectiveFunction(Vector r_bar, double[] lambda, SOCPRiskConstraint risk, SOCPPortfolioConstraint impact) Constructs the objective function for an SOCP portfolio optimization (minimization) problem.
SOCPPortfolioObjectiveFunction(Vector r_bar, double lambda, SOCPRiskConstraint risk) Constructs the objective function for an SOCP portfolio optimization (minimization) problem without a market impact term.