org.ojalgo.finance
Class MarketEquilibrium

java.lang.Object
  org.ojalgo.finance.MarketEquilibrium

Deprecated. Since Version 24. Use the org.ojalgo.finance.portfolio package instead.

@Deprecated
public class MarketEquilibrium
extends Object

MarketEquilibrium

Author:

apete

Constructor Summary

MarketEquilibrium(BasicMatrix aCovariances, BigDecimal aRiskAversion)
Deprecated.

MarketEquilibrium(String[] someInstruments, BasicMatrix aCovariances, BigDecimal aRiskAversion)
Deprecated.

Method Summary

BigDecimal	calculateEquilibriumReturn(BasicMatrix aWeightsVctr) Deprecated. Calculates the portfolio (equilibrium excess) return using the equilibrium excess returns related to the input (market) portfolio weights.
BigDecimal	calculatePortfolioReturn(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr) Deprecated. Calculates the portfolio return using the input portfolio weights and returns.
BigDecimal	calculatePortfolioVariance(BasicMatrix aWeightsVctr) Deprecated. Calculates the portfolio variance using the input portfolio weights.
BasicMatrix	calculateReturns(BasicMatrix aWeightsVctr) Deprecated. If the input vector of portfolio weights are the market portfolio weights then the ouput is the equilibrium excess returns.
BasicMatrix	calculateWeights(BasicMatrix aReturnsVctr) Deprecated. If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.
MarketEquilibrium	copy() Deprecated.
BasicMatrix	getCovariances() Deprecated.
BigDecimal	getRiskAversion() Deprecated.
String[]	getSymbols() Deprecated.
void	setRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr) Deprecated. Will set the risk aversion factor to the best fit for an observed pair of market portfolio weights and equilibrium/historical excess returns.
void	setRiskAversion(BigDecimal aFactor) Deprecated.

Methods inherited from class java.lang.Object

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

Constructor Detail

MarketEquilibrium

public MarketEquilibrium(BasicMatrix aCovariances,
                         BigDecimal aRiskAversion)

Deprecated.

MarketEquilibrium

public MarketEquilibrium(String[] someInstruments,
                         BasicMatrix aCovariances,
                         BigDecimal aRiskAversion)

Deprecated.

Method Detail

calculateEquilibriumReturn

public BigDecimal calculateEquilibriumReturn(BasicMatrix aWeightsVctr)

Deprecated.

Calculates the portfolio (equilibrium excess) return using the equilibrium excess returns related to the input (market) portfolio weights.

calculatePortfolioReturn

public BigDecimal calculatePortfolioReturn(BasicMatrix aWeightsVctr,
                                           BasicMatrix aReturnsVctr)

Deprecated.

Calculates the portfolio return using the input portfolio weights and returns.

calculatePortfolioVariance

public BigDecimal calculatePortfolioVariance(BasicMatrix aWeightsVctr)

Deprecated.

Calculates the portfolio variance using the input portfolio weights.

calculateReturns

public BasicMatrix calculateReturns(BasicMatrix aWeightsVctr)

Deprecated.

If the input vector of portfolio weights are the market portfolio weights then the ouput is the equilibrium excess returns.

calculateWeights

public BasicMatrix calculateWeights(BasicMatrix aReturnsVctr)

Deprecated.

If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.

copy

public MarketEquilibrium copy()

Deprecated.

getCovariances

public BasicMatrix getCovariances()

Deprecated.

getRiskAversion

public BigDecimal getRiskAversion()

Deprecated.

getSymbols

public String[] getSymbols()

Deprecated.

setRiskAversion

public void setRiskAversion(BasicMatrix aWeightsVctr,
                            BasicMatrix aReturnsVctr)

Deprecated.

Will set the risk aversion factor to the best fit for an observed pair of market portfolio weights and equilibrium/historical excess returns.

setRiskAversion

public void setRiskAversion(BigDecimal aFactor)

Deprecated.