| Class and Description |
|---|
| PortfolioRiskExactSigma.MatrixRoot
Specifies the method to compute the root of a matrix.
|
| SOCPPortfolioConstraint
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:
\[
A^T x \leq c, x \in \Re^m
\]
|
| SOCPPortfolioConstraint.ConstraintViolationException
Exception thrown when a constraint is violated.
|
| SOCPPortfolioConstraint.Variable
the variables involved in
SOCPGeneralConstraints |
| SOCPPortfolioObjectiveFunction
Constructs the objective function for portfolio optimization.
|
| SOCPRiskConstraint |
| Class and Description |
|---|
| SOCPPortfolioConstraint
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:
\[
A^T x \leq c, x \in \Re^m
\]
|
| SOCPPortfolioConstraint.ConstraintViolationException
Exception thrown when a constraint is violated.
|
| Class and Description |
|---|
| SOCPPortfolioConstraint
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:
\[
A^T x \leq c, x \in \Re^m
\]
|
| SOCPPortfolioConstraint.ConstraintViolationException
Exception thrown when a constraint is violated.
|
Copyright © 2010-2026 NM Group. All Rights Reserved.