org.akutan.blacklitterman.test
Class MeanVarianceTest

java.lang.Object
  junit.framework.Assert
      junit.framework.TestCase
          org.akutan.blacklitterman.test.MeanVarianceTest

All Implemented Interfaces:

junit.framework.Test

public class MeanVarianceTest
extends junit.framework.TestCase

Constructor Summary

MeanVarianceTest()

Method Summary

cern.colt.matrix.DoubleMatrix1D	getMarketWeights() Returns the market weights from the example shown in the He-Litterman, 1999 paper
protected cern.colt.matrix.DoubleMatrix1D	getReturns(double delta, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D w)
cern.colt.matrix.DoubleMatrix2D	getVariance() Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
void	testBudgetConstrained() This test case based on the values in the He/Litterman paper on Black-Litterman.
void	testUnconstrained() This test case based on the values in the He/Litterman paper on Black-Litterman.

Methods inherited from class junit.framework.TestCase

countTestCases, createResult, getName, run, run, runBare, runTest, setName, setUp, tearDown, toString

Methods inherited from class junit.framework.Assert

assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertFalse, assertFalse, assertNotNull, assertNotNull, assertNotSame, assertNotSame, assertNull, assertNull, assertSame, assertSame, assertTrue, assertTrue, fail, fail, failNotEquals, failNotSame, failSame, format

Methods inherited from class java.lang.Object

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

Constructor Detail

MeanVarianceTest

public MeanVarianceTest()

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.

getVariance

public cern.colt.matrix.DoubleMatrix2D getVariance()

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

Returns:

Covariance matrix for the assets

getReturns

protected cern.colt.matrix.DoubleMatrix1D getReturns(double delta,
                                                     cern.colt.matrix.DoubleMatrix2D V,
                                                     cern.colt.matrix.DoubleMatrix1D w)

testUnconstrained

public void testUnconstrained()

This test case based on the values in the He/Litterman paper on Black-Litterman.

testBudgetConstrained

public void testBudgetConstrained()

This test case based on the values in the He/Litterman paper on Black-Litterman.