org.akutan.blacklitterman
Class HeLitterman

java.lang.Object
  org.akutan.blacklitterman.BlackLitterman
      org.akutan.blacklitterman.HeLitterman

public class HeLitterman
extends BlackLitterman

Provides test data and harness to reproduce the results from the He & Litterman paper on the Black-Litterman portfolio optimization method.

Since:

February 3, 2006

Field Summary

Fields inherited from class org.akutan.blacklitterman.BlackLitterman

modifyVariance

Constructor Summary

HeLitterman()

Method Summary

java.lang.String[]	getAssetNames()
cern.colt.matrix.DoubleMatrix1D	getMarketWeights() Returns the market weights from the example shown in the He-Litterman, 1999 paper
cern.colt.matrix.DoubleMatrix2D	getTestV() Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
static void	main(java.lang.String[] args)
cern.colt.matrix.DoubleMatrix2D	transpose(cern.colt.matrix.DoubleMatrix1D d)

Methods inherited from class org.akutan.blacklitterman.BlackLitterman

applyBL, applyBL, computeDelta, computeEr, computeImpliedWeights, computeInterval, computeKLIC, computeLambda, computeLambdaN, computePartialTevSensitities, computeTev, computeTevSensitities, computeV, getViewVariance, isModifyVariance, maxValue, mehalanobisDistance, overallProbability, reverseOptimize, sensitivities, setModifyVariance

Methods inherited from class java.lang.Object

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

Constructor Detail

HeLitterman

public HeLitterman()

Method Detail

getMarketWeights

public cern.colt.matrix.DoubleMatrix1D getMarketWeights()

Returns the market weights from the example shown in the He-Litterman, 1999 paper

Returns:

Vector of market weights for the assets.

getTestV

public cern.colt.matrix.DoubleMatrix2D getTestV()

Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.

Returns:

Covariance matrix for the assets

getAssetNames

public java.lang.String[] getAssetNames()

transpose

public cern.colt.matrix.DoubleMatrix2D transpose(cern.colt.matrix.DoubleMatrix1D d)

main

public static void main(java.lang.String[] args)

Parameters:

args -