tech.nmfin.portfoliooptimization.lai2010.optimizer

Class MVOptimizerLongOnly

java.lang.Object

tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights

tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerLongOnly

All Implemented Interfaces:

MVOptimizer

public class MVOptimizerLongOnly
extends MVOptimizerMinWeights

A long-only MV optimizer.

Field Summary

Fields inherited from class tech.nmfin.portfoliooptimization.lai2010.optimizer.MVOptimizerMinWeights

w0

Constructor Summary

Constructors

Constructor and Description
MVOptimizerLongOnly()

Method Summary

Modifier and Type	Method and Description
Vector	optimalWeights(Vector mu, Matrix V, double lambda, double eta) Solves for the optimal weights given the moments, lambda, and eta.

Methods inherited from class java.lang.Object

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

Constructor Detail

MVOptimizerLongOnly

public MVOptimizerLongOnly()

Method Detail

optimalWeights

public Vector optimalWeights(Vector mu,
                             Matrix V,
                             double lambda,
                             double eta)

Description copied from interface: MVOptimizer

Solves for the optimal weights given the moments, lambda, and eta.

Specified by:

optimalWeights in interface MVOptimizer

Overrides:

optimalWeights in class MVOptimizerMinWeights

Parameters:

mu - the expected returns

V - the covariance matrix

lambda - the risk-aversion index λ

eta - η

Returns:

the weights