org.akutan.optimization
Class LedoitWolfSolver

java.lang.Object
  org.akutan.optimization.ActiveSetSolver
      org.akutan.optimization.ReturnSolver
          org.akutan.optimization.LedoitWolfSolver

All Implemented Interfaces:

Solver

public class LedoitWolfSolver
extends ReturnSolver
implements Solver

This class encapsulates an example of solving for the optimal portfolio using the shrinkage model described in "Honey I Shrunk the Covariance Matrix", by Ledoit and Wolf, 2003.

Since:

30 July 2007

Field Summary

protected java.util.List<EfficientFrontier.SampleData>	_samplePoints
protected java.text.DecimalFormat	df
protected cern.colt.matrix.DoubleMatrix2D	orig_V

Constructor Summary

LedoitWolfSolver(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V_p, java.util.List<EfficientFrontier.SampleData> samplePoints)
Constructs

Method Summary

protected java.lang.String	formatOutput(int ct, double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V) Override method in ActiveSet so that we can use the un-shrunk E(r) and V
protected SolvedPoint	makePoint(double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V) Override method in ActiveSet so that we can use the un-shrunk E(r) and V
protected void	shrink() Implements the shrinkage algorithm from Ledoit and Wolf, 2003.

Methods inherited from class org.akutan.optimization.ReturnSolver

cleanConstraints, initialGuess, solve, solveForReturn

Methods inherited from class org.akutan.optimization.ActiveSetSolver

algorithm, dumpConstraints, generateConstraints, generateValues, initialGuess, make2D, setMatrix, setMatrix, solve, solveSingle

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.akutan.optimization.Solver

solve

Field Detail

df

protected final java.text.DecimalFormat df

orig_V

protected cern.colt.matrix.DoubleMatrix2D orig_V

_samplePoints

protected java.util.List<EfficientFrontier.SampleData> _samplePoints

Constructor Detail

LedoitWolfSolver

public LedoitWolfSolver(cern.colt.matrix.DoubleMatrix1D e_r,
                        cern.colt.matrix.DoubleMatrix2D V_p,
                        java.util.List<EfficientFrontier.SampleData> samplePoints)

Constructs

Method Detail

shrink

protected void shrink()

Implements the shrinkage algorithm from Ledoit and Wolf, 2003.

makePoint

protected SolvedPoint makePoint(double ra,
                                cern.colt.matrix.DoubleMatrix1D x,
                                cern.colt.matrix.DoubleMatrix1D e_r,
                                cern.colt.matrix.DoubleMatrix2D V)

Override method in ActiveSet so that we can use the un-shrunk E(r) and V

Overrides:

makePoint in class ActiveSetSolver

formatOutput

protected java.lang.String formatOutput(int ct,
                                        double ra,
                                        cern.colt.matrix.DoubleMatrix1D x,
                                        cern.colt.matrix.DoubleMatrix1D e_r,
                                        cern.colt.matrix.DoubleMatrix2D V)

Override method in ActiveSet so that we can use the un-shrunk E(r) and V

Overrides:

formatOutput in class ActiveSetSolver