tech.nmfin.portfoliooptimization.nmsaam

Class NMSAAM

java.lang.Object

tech.nmfin.portfoliooptimization.nmsaam.NMSAAM

All Implemented Interfaces:

PortfolioOptimizationAlgorithm

public class NMSAAM
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
NMSAAM(double riskAverse)
NMSAAM(double shrinkage, double riskAverse)
NMSAAM(double shrinkage, double riskAverse, int maxStocks)
NMSAAM(double shrinkage, double riskAverse, int nBoots, int maxStocks, double explained)
NMSAAM(double riskAverse, int maxStocks)

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.

Methods inherited from class java.lang.Object

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

Constructor Detail

NMSAAM

public NMSAAM(double shrinkage,
              double riskAverse,
              int nBoots,
              int maxStocks,
              double explained)

Parameters:

shrinkage - shrinkage

riskAverse - risk adverse parameters; the bigger the more risk adverse

nBoots - number of bootstrapped paths

maxStocks - maximum number of stocks

explained - weights explained

NMSAAM

public NMSAAM(double shrinkage,
              double riskAverse)

NMSAAM

public NMSAAM(double riskAverse)

NMSAAM

public NMSAAM(double shrinkage,
              double riskAverse,
              int maxStocks)

NMSAAM

public NMSAAM(double riskAverse,
              int maxStocks)

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