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Class Summary |
| ActiveSetSolver |
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| BayesSteinSolver |
This class encapsulates an example of shrinking the returns and covariance
using Bayes-Stein shrinkage as descried in Jorion, 1986. |
| Constraint |
Base class for linear optimization constraints |
| ConstraintDialog |
Used to manage input of a Black-Litterman style view on the returns of assets |
| EntropySolver |
This class encapsulates an example of solving for the optimal portfolio using
the entropy measure. |
| InteriorPointsReturn |
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| InteriorPointsSolver |
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| InteriorPointsUtility |
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| IPConsVector |
This class encapsulates the assignment and structure of the various
subcomponents of the interior point method solution. |
| IPMatrix |
This class encapsulates the assignment and structure of the various
subcomponents of the interior point method solution. |
| IPVector |
This class encapsulates the assignment and structure of the various
subcomponents of the interior point method solution. |
| LedoitWolfSolver |
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. |
| LMSolver |
This class minimizes the objective function subject to the
Levenberg-Marquardt algorithm. |
| NewtonSolver |
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| ReturnSolver |
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| RevisedSimplex |
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| RobustOptimization |
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| SASolution |
Consists of the vector of weights before processing and a convenience data
structure to identify which assets are in the weight vector. |
| SimulatedAnnealing |
Class implements a simple Simulated Annealing algorithm from Chang et al,
"Heuristics for Cardinality Constrained Portfolio Optimization", Computers &
Operations Research, 27 (2000), 1271-1302. |
| SimulatedAnnealing2 |
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| SimulationSolver |
This class encapsulates the simulation method described in the Farrely
article from Journal of Investing, Winter 2006. |
| SolvedPoint |
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| SphericalShrinkageSolver |
This class encapsulates an example of solving for the optimal portfolio using
the Spherical Shrinkage, taken from Meucci, Chapter 4. |
| StatePreference |
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| StateReturnSolver |
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| TutuncuKoenigExample |
This example attempts to replicate the example from Tutuncu and Koenig,
this is the naive example with a box constraint on the mean and covariance
and we assume the worst case for all means and covariances simultaneously. |
| UnconstrainedSolver |
Created on Nov 3, 2005
Unconstrained solution to mean variance portfolio optimization. |
| UtilitySolver |
Subclass of ActiveSetSolver that solves the mean variance portfolio
optimization problem by minimizing the utility for a given risk aversion
parameter. |