org.akutan.rbsa
Class ReturnBasedStyleAnalysis

java.lang.Object
  org.akutan.rbsa.ReturnBasedStyleAnalysis

public class ReturnBasedStyleAnalysis
extends java.lang.Object

This class implements Return Based Style Analysis as described in the paper Asset Allocation: Management Style and Performance Measurement by William F. Sharpe, 1992. You can find it on his website, or in the Journal of Portfolio Management, Winter, 1992, pp7-19. The details of the math came from the book Optimization Methods in Finance.

Since:

8 March 2007

Constructor Summary

ReturnBasedStyleAnalysis()

Method Summary

static cern.colt.matrix.DoubleMatrix1D

rbsa(cern.colt.matrix.DoubleMatrix1D R, cern.colt.matrix.DoubleMatrix2D F) Computes the return based style analysis for the asset returns given the factor returns using quadratic optimization.

Methods inherited from class java.lang.Object

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

Constructor Detail

ReturnBasedStyleAnalysis

public ReturnBasedStyleAnalysis()

Method Detail

rbsa

public static cern.colt.matrix.DoubleMatrix1D rbsa(cern.colt.matrix.DoubleMatrix1D R,
                                                   cern.colt.matrix.DoubleMatrix2D F)

Computes the return based style analysis for the asset returns given the factor returns using quadratic optimization. Because this routine is very memory hungry it will not run against simulated data (high row counts).

Parameters:

R - Tx1 vector of asset returns

F - Txn vector of returns for n factors

Returns:

nx1 vector of factor weights