Uses of Interface
tech.nmfin.portfoliooptimization.markowitz.constraints.QPConstraint

Packages that use QPConstraint

Package	Description
tech.nmfin.portfoliooptimization.markowitz	Mean-variance portfolio construction from supplied return and covariance estimates.
tech.nmfin.portfoliooptimization.markowitz.constraints

Uses of QPConstraint in tech.nmfin.portfoliooptimization.markowitz

Constructors in tech.nmfin.portfoliooptimization.markowitz with parameters of type QPConstraint

Constructor and Description
MarkowitzByQP(Vector mu, Matrix sigma, QPConstraint constraints) Constructs a Markowitz portfolio from expected future returns and future covariance, assuming zero benchmark rate for Sharpe ratio calculation.
MarkowitzByQP(Vector mu, Matrix sigma, QPConstraint constraints, double benchmarkRate) Constructs a Markowitz portfolio from expected future returns and future covariance.

Uses of QPConstraint in tech.nmfin.portfoliooptimization.markowitz.constraints

Classes in tech.nmfin.portfoliooptimization.markowitz.constraints that implement QPConstraint

Modifier and Type	Class and Description
class	QPMinWeights
class	QPNoConstraint Deprecated. This constraint means that you can borrow indefinitely, which makes very little economics meaning.
class	QPNoShortSelling
class	QPUnity
class	QPWeightsLimit One bound per asset minW and maxW must have the same asset order and dimension as the optimizer's return vector.