tech.nmfin.portfoliooptimization

Class TopNOptimizationAlgorithm

java.lang.Object

tech.nmfin.portfoliooptimization.TopNOptimizationAlgorithm

All Implemented Interfaces:

PortfolioOptimizationAlgorithm

public class TopNOptimizationAlgorithm
extends Object
implements PortfolioOptimizationAlgorithm

Nested Class Summary

Nested classes/interfaces inherited from interface tech.nmfin.portfoliooptimization.PortfolioOptimizationAlgorithm

PortfolioOptimizationAlgorithm.CovarianceEstimator, PortfolioOptimizationAlgorithm.MeanEstimator, PortfolioOptimizationAlgorithm.SampleCovarianceEstimator, PortfolioOptimizationAlgorithm.SampleMeanEstimator, PortfolioOptimizationAlgorithm.SymbolLookup

Constructor Summary

Constructors

Constructor and Description
TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo, int N, double B)

Method Summary

Modifier and Type	Method and Description
Vector	getOptimalWeights(Matrix returns, Vector weights0, PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup, LocalDateTimeInterval interval) Computes the optimal weights for the products using returns.
static Vector	getTopN(Vector w0, int N, double B)

Methods inherited from class java.lang.Object

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

Constructor Detail

TopNOptimizationAlgorithm

public TopNOptimizationAlgorithm(PortfolioOptimizationAlgorithm optimAlgo,
                                 int N,
                                 double B)

Method Detail

getOptimalWeights

public Vector getOptimalWeights(Matrix returns,
                                Vector weights0,
                                PortfolioOptimizationAlgorithm.SymbolLookup symbolLookup,
                                LocalDateTimeInterval interval)
                         throws Exception

Description copied from interface: PortfolioOptimizationAlgorithm

Computes the optimal weights for the products using returns.

Specified by:

getOptimalWeights in interface PortfolioOptimizationAlgorithm

Parameters:

returns - the returns of the products

weights0 - the initial/current/original weights

symbolLookup - the lookup service for product symbols and indices

interval - the time interval of the returns matrix

Returns:

the optimal weights

Throws:

Exception - if fail to compute optimal weights

getTopN

public static Vector getTopN(Vector w0,
                             int N,
                             double B)