tech.nmfin.portfoliooptimization.socp.constraints.ybar

Class SOCPLinearSectorExposure

java.lang.Object

dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

tech.nmfin.portfoliooptimization.socp.constraints.ybar.SOCPLinearSectorExposure

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction

public class SOCPLinearSectorExposure
extends SOCPPortfolioConstraint

A sector exposure constraint. \[ \sum_{j \in S_i} |y_j| \leq u_i, \quad i=1, \ldots, k \] where \(y_j\) is the new weight for asset j, \(S_i\) are the given sectors, and \(u_i\) is the exposure limit for \(S_i\).

Nested Class Summary

Nested classes/interfaces inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable

Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException

Field Summary

Fields

Modifier and Type	Field and Description
static double	DEFAULT_EPSILON

Constructor Summary

Constructors

Constructor and Description
SOCPLinearSectorExposure(Vector[] S, Vector u) Creates a sector exposure constraint.
SOCPLinearSectorExposure(Vector[] S, Vector u, double epsilon) Creates a sector exposure constraint.

Method Summary

Modifier and Type	Method and Description
boolean	areAllConstraintsSatisfied(Vector y) Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.
int	dimensionOfDomain() Get the number of variables the function has.
int	dimensionOfRange() Get the dimension of the range space of the function.
Double	evaluate(Vector y) Evaluate the function f at x, where x is from the domain.

Methods inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

generalConstraints, getVariables, linearEqualities, linearInequalities, newSOCPGeneralConstraints, newSOCPLinearEqualities, newSOCPLinearInequalities

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT_EPSILON

public static final double DEFAULT_EPSILON

See Also:

Constant Field Values

Constructor Detail

SOCPLinearSectorExposure

public SOCPLinearSectorExposure(Vector[] S,
                                Vector u)

Creates a sector exposure constraint.

Parameters:

S - the sector indicators; S[i].get(j) == 1 if asset \(j\) is in sector \(S_i\); 0 otherwise

u - the sector exposure limits

SOCPLinearSectorExposure

public SOCPLinearSectorExposure(Vector[] S,
                                Vector u,
                                double epsilon)

Creates a sector exposure constraint.

Parameters:

S - the sector indicators; S[i].get(j) == 1 if asset \(j\) is in sector \(S_i\); 0 otherwise

u - the sector exposure limits

epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0

Method Detail

areAllConstraintsSatisfied

public boolean areAllConstraintsSatisfied(Vector y)
                                   throws SOCPPortfolioConstraint.ConstraintViolationException

Description copied from class: SOCPPortfolioConstraint

Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.

Specified by:

areAllConstraintsSatisfied in class SOCPPortfolioConstraint

Parameters:

y - a portfolio solution or allocation; the asset weights

Returns:

true if and only if all SOCP constraints are satisfied

Throws:

SOCPPortfolioConstraint.ConstraintViolationException

evaluate

public Double evaluate(Vector y)

Description copied from interface: Function

Evaluate the function f at x, where x is from the domain.

Parameters:

y - x

Returns:

f(x)

dimensionOfDomain

public int dimensionOfDomain()

Description copied from interface: Function

Get the number of variables the function has. For example, for a univariate function, the domain dimension is 1; for a bivariate function, the domain dimension is 2.

Returns:

the number of variables

dimensionOfRange

public int dimensionOfRange()

Description copied from interface: Function

Get the dimension of the range space of the function. For example, for a \(R^{n}\to R^{m}\) function, the dimension of the range is m.

Returns:

the dimension of the range