org.ojalgo.finance.portfolio

Class BlackLittermanModel

java.lang.Object

org.ojalgo.finance.portfolio.FinancePortfolio

org.ojalgo.finance.portfolio.BlackLittermanModel

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class BlackLittermanModel
extends FinancePortfolio

Nested Class Summary

Nested classes/interfaces inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Constructor and Description
BlackLittermanModel(FinancePortfolio.Context context, FinancePortfolio originalWeights)
BlackLittermanModel(MarketEquilibrium marketEquilibrium, BasicMatrix originalWeights)

Method Summary

Modifier and Type	Method and Description
void	addView(FinancePortfolio aView)
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, Number aReturn)
void	addViewWithScaledConfidence(List<BigDecimal> someWeights, Number aReturn, Number aScale)
void	addViewWithStandardDeviation(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aStdDev) Deprecated. v30
protected BasicMatrix	calculateAssetReturns()
protected BasicMatrix	calculateAssetReturns(BasicMatrix aWeightsVctr)
protected BasicMatrix	calculateAssetWeights()
protected BasicMatrix	calculateAssetWeights(BasicMatrix aReturnsVctr)
protected Scalar<?>	calculatePortfolioReturn(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
protected Scalar<?>	calculatePortfolioVariance(BasicMatrix aWeightsVctr)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
protected void	calibrate(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
BasicMatrix	getAssetReturns()
BasicMatrix	getAssetVolatilities()
BasicMatrix	getAssetWeights()
Scalar<?>	getConfidence() "weight on views" or "tau" A parameter that describes the general confidence in the views.
BasicMatrix	getCorrelations()
BasicMatrix	getCovariances()
MarketEquilibrium	getMarketEquilibrium()
double	getMeanReturn() The mean/expected return of this instrument.
protected BasicMatrix	getOriginalReturns()
protected BasicMatrix	getOriginalWeights()
double	getReturnVariance() The instrument's return variance.
Scalar<?>	getRiskAversion()
String[]	getSymbols()
protected BasicMatrix	getViewPortfolios()
protected BasicMatrix	getViewReturns() Scaled by risk aversion factor.
protected List<FinancePortfolio>	getViews()
protected BasicMatrix	getViewVariances() Scaled by tau / weight on views
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
protected void	reset()
void	setConfidence(Number aWeight)
void	setRiskAversion(Number factor)
int	size()
List<SimpleAsset>	toSimpleAssets()
SimplePortfolio	toSimplePortfolio()
String	toString()

Methods inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackLittermanModel

public BlackLittermanModel(FinancePortfolio.Context context,
                           FinancePortfolio originalWeights)

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium marketEquilibrium,
                           BasicMatrix originalWeights)

Parameters:

marketEquilibrium - The covariance matrix, and market risk aversion

originalWeights - The market portfolio

Method Detail

addView

public final void addView(FinancePortfolio aView)

addViewWithBalancedConfidence

public final void addViewWithBalancedConfidence(List<BigDecimal> someWeights,
                                                Number aReturn)

addViewWithScaledConfidence

public final void addViewWithScaledConfidence(List<BigDecimal> someWeights,
                                              Number aReturn,
                                              Number aScale)

addViewWithStandardDeviation

@Deprecated
public final void addViewWithStandardDeviation(List<BigDecimal> someWeights,
                                                           BigDecimal aReturn,
                                                           BigDecimal aStdDev)

Deprecated. v30

getConfidence

public final Scalar<?> getConfidence()

"weight on views" or "tau" A parameter that describes the general confidence in the views. Typically set to sometghing between 0.0 and 1.0. 0.0 = "No confidence!" Why bother... 1.0 = As confident as the market. This is highly unlikely.

setConfidence

public final void setConfidence(Number aWeight)

See Also:

getConfidence()

calculateAssetReturns

protected BasicMatrix calculateAssetReturns()

calculateAssetWeights

protected BasicMatrix calculateAssetWeights()

getOriginalReturns

protected final BasicMatrix getOriginalReturns()

getOriginalWeights

protected final BasicMatrix getOriginalWeights()

See Also:

getOriginalWeights(), EquilibriumModel.getAssetWeights()

getViewPortfolios

protected final BasicMatrix getViewPortfolios()

getViewReturns

protected final BasicMatrix getViewReturns()

Scaled by risk aversion factor.

getViews

protected final List<FinancePortfolio> getViews()

getViewVariances

protected final BasicMatrix getViewVariances()

Scaled by tau / weight on views

calculatePortfolioReturn

public final double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface FinancePortfolio.Context

calculatePortfolioVariance

public final double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface FinancePortfolio.Context

getAssetReturns

public final BasicMatrix getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public final BasicMatrix getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getAssetWeights

public final BasicMatrix getAssetWeights()

getCorrelations

public final BasicMatrix getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariances

public final BasicMatrix getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

getMarketEquilibrium

public final MarketEquilibrium getMarketEquilibrium()

getMeanReturn

public final double getMeanReturn()

Description copied from class: FinancePortfolio

The mean/expected return of this instrument. May return either the absolute or excess return of the instrument. The context in which an instance is used should make it clear which. return.

Specified by:

getMeanReturn in class FinancePortfolio

getReturnVariance

public final double getReturnVariance()

Description copied from class: FinancePortfolio

The instrument's return variance. Subclasses must override either FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().

Overrides:

getReturnVariance in class FinancePortfolio

getRiskAversion

public final Scalar<?> getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from class: FinancePortfolio

This method returns a list of the weights of the Portfolio's contained assets. An asset weight is NOT restricted to being a share/percentage - it can be anything. Most subclasses do however assume that the list of asset weights are shares/percentages that sum up to 100%. Calling FinancePortfolio.normalise() will transform any set of weights to that form.

Specified by:

getWeights in class FinancePortfolio

setRiskAversion

public final void setRiskAversion(Number factor)

size

public int size()

Specified by:

size in interface FinancePortfolio.Context

toSimpleAssets

public final List<SimpleAsset> toSimpleAssets()

toSimplePortfolio

public final SimplePortfolio toSimplePortfolio()

toString

public String toString()

Overrides:

toString in class FinancePortfolio

calculateAssetReturns

protected final BasicMatrix calculateAssetReturns(BasicMatrix aWeightsVctr)

calculateAssetWeights

protected final BasicMatrix calculateAssetWeights(BasicMatrix aReturnsVctr)

calculatePortfolioReturn

protected final Scalar<?> calculatePortfolioReturn(BasicMatrix aWeightsVctr,
                                                   BasicMatrix aReturnsVctr)

calculatePortfolioVariance

protected final Scalar<?> calculatePortfolioVariance(BasicMatrix aWeightsVctr)

calibrate

protected final void calibrate(BasicMatrix aWeightsVctr,
                               BasicMatrix aReturnsVctr)

reset

protected void reset()

Specified by:

reset in class FinancePortfolio