org.akutan.montecarlo
Class MonteCarlo

java.lang.Object
  org.akutan.montecarlo.MonteCarlo

public class MonteCarlo
extends java.lang.Object

This class is used to run Monte Carlo simulations of portfolio returns over the 1 year horizon we're using in our optimization.

Since:

Constructor Summary

MonteCarlo(cern.colt.matrix.DoubleMatrix1D mu, cern.colt.matrix.DoubleMatrix2D V)
Constructs with a specified multivariate normal distribution

Method Summary

void	setExpRet(double expRet) Sets the expected return for the simulation
java.util.List<SolvedPoint>	simulate(cern.colt.matrix.DoubleMatrix1D weights) Simulates returns for a portfolio with fixed weights.

Methods inherited from class java.lang.Object

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

Constructor Detail

MonteCarlo

public MonteCarlo(cern.colt.matrix.DoubleMatrix1D mu,
                  cern.colt.matrix.DoubleMatrix2D V)

Constructs with a specified multivariate normal distribution

Parameters:

mu - Mean vector for multivariate normal

V - Covariance matrix for multivariate normal

Method Detail

setExpRet

public void setExpRet(double expRet)

Sets the expected return for the simulation

Parameters:

expRet - Expected return as a decimal

simulate

public java.util.List<SolvedPoint> simulate(cern.colt.matrix.DoubleMatrix1D weights)

Simulates returns for a portfolio with fixed weights.

Parameters:

weights - The weights to use for the various assets

Returns:

List contains a single point