org.akutan.faj.covariance
Class PetersonGrier

java.lang.Object
  org.akutan.faj.covariance.PetersonGrier

public class PetersonGrier
extends java.lang.Object

This class reproduces the Monte Carlo test performed in the Peterson & Grier article on Covariance Misspecification in Asset Allocation from the July/August 2006 issue of Financial Analysts Journal.

Constructor Summary

PetersonGrier()

Method Summary

protected static void	dumpPoints(java.util.List<SolvedPoint> points) Debug method to dump all the points on an efficient frontier to System.out.
protected static cern.colt.matrix.DoubleMatrix1D	findMaxSharpeRatio(java.util.List<SolvedPoint> points) Called to perform a simple search and interpolation on the results to find the weights with the best (max) sharpe ratio.
static void	main(java.lang.String[] args) Selftest
static cern.colt.list.DoubleArrayList	unsmooth(cern.colt.list.DoubleArrayList smoothed)

Methods inherited from class java.lang.Object

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

Constructor Detail

PetersonGrier

public PetersonGrier()

Method Detail

dumpPoints

protected static void dumpPoints(java.util.List<SolvedPoint> points)

Debug method to dump all the points on an efficient frontier to System.out.

Parameters:

points -

findMaxSharpeRatio

protected static cern.colt.matrix.DoubleMatrix1D findMaxSharpeRatio(java.util.List<SolvedPoint> points)

Called to perform a simple search and interpolation on the results to find the weights with the best (max) sharpe ratio.

Parameters:

points - List of points on the efficient frontier.

Returns:

Vector of asset weights for the portfolio with the best sharpe ratio from the portfolios in the list.

unsmooth

public static cern.colt.list.DoubleArrayList unsmooth(cern.colt.list.DoubleArrayList smoothed)

main

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

Selftest