org.akutan.optimization.diversified
Class DiversifiedReturn

java.lang.Object
  org.akutan.optimization.diversified.DivInteriorPointsSolver
      org.akutan.optimization.diversified.DiversifiedReturn

All Implemented Interfaces:

Solver

public class DiversifiedReturn
extends DivInteriorPointsSolver
implements Solver

Field Summary

Fields inherited from class org.akutan.optimization.diversified.DivInteriorPointsSolver

df

Constructor Summary

DiversifiedReturn(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V, double f)
Constructs

Method Summary

java.util.List<SolvedPoint>

solve(java.util.List<Constraint> extraConstraints, org.akutan.optimization.ProgressIndicator progress) Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.

Methods inherited from class org.akutan.optimization.diversified.DivInteriorPointsSolver

addPoint, algorithm, computeAlpha, formatOutput, generate_b, generate_d, getEqualityConstraints, getInequalityConstraints, initialGuess, prettyPrint, solvePoint

Methods inherited from class java.lang.Object

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

Constructor Detail

DiversifiedReturn

public DiversifiedReturn(cern.colt.matrix.DoubleMatrix1D e_r,
                         cern.colt.matrix.DoubleMatrix2D V,
                         double f)

Constructs

Parameters:

e_r - Expected return by asset

V - Covariance matrix

f - Diversification factor

Method Detail

solve

public java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints,
                                         org.akutan.optimization.ProgressIndicator progress)

Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.

Specified by:

solve in interface Solver

Parameters:

extraConstraints - Additional constraints beyond those implied

Returns:

List List of pts on the efficient frontier