tech.nmfin.portfoliooptimization

Class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator

java.lang.Object

tech.nmfin.portfoliooptimization.PortfolioOptimizationAlgorithm.SampleCovarianceEstimator

All Implemented Interfaces:

PortfolioOptimizationAlgorithm.CovarianceEstimator

Enclosing interface:

PortfolioOptimizationAlgorithm

public static class PortfolioOptimizationAlgorithm.SampleCovarianceEstimator
extends Object
implements PortfolioOptimizationAlgorithm.CovarianceEstimator

Estimate the expected covariances of an asset using sample covariances.

Constructor Summary

Constructors

Constructor and Description
SampleCovarianceEstimator()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

SampleCovarianceEstimator

public SampleCovarianceEstimator()

Method Detail

getCovariances

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

Specified by:

getCovariances in interface PortfolioOptimizationAlgorithm.CovarianceEstimator