tech.nmfin.portfoliooptimization

Interface PortfolioOptimizationAlgorithm.CovarianceEstimator

All Known Implementing Classes:

PortfolioOptimizationAlgorithm.SampleCovarianceEstimator

Enclosing interface:

PortfolioOptimizationAlgorithm

public static interface PortfolioOptimizationAlgorithm.CovarianceEstimator

Define how the expected covariances of an asset for a future period is computed. The default is to use LedoitWolf2004.

Method Summary

Modifier and Type	Method and Description
default Matrix	getCovariances(Matrix returns, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval)

Method Detail

getCovariances

default Matrix getCovariances(Matrix returns,
                              PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
                              LocalDateTimeInterval interval)