tech.nmfin.portfoliooptimization.corvalan2005.diversification

Class SumOfSquaredWeights

java.lang.Object

tech.nmfin.portfoliooptimization.corvalan2005.diversification.SumOfSquaredWeights

All Implemented Interfaces:

DiversificationMeasure

public class SumOfSquaredWeights
extends Object
implements DiversificationMeasure

Defines portfolio diversification as \[ D(w) = \sum_i w_i^2 \]

Constructor Summary

Constructors

Constructor and Description
SumOfSquaredWeights()

Method Summary

Modifier and Type	Method and Description
double	value(double[] weights) Evaluates the level of portfolio diversification given portfolio weights.

Methods inherited from class java.lang.Object

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

Constructor Detail

SumOfSquaredWeights

public SumOfSquaredWeights()

Method Detail

value

public double value(double[] weights)

Description copied from interface: DiversificationMeasure

Evaluates the level of portfolio diversification given portfolio weights.

Specified by:

value in interface DiversificationMeasure

Parameters:

weights - portfolio weights

Returns:

the level of diversification