org.ojalgo.finance.portfolio
Class BlackLittermanModel

java.lang.Object
  org.ojalgo.finance.portfolio.MeanVarianceAsset
      org.ojalgo.finance.portfolio.CovarianceBasedModel
          org.ojalgo.finance.portfolio.BlackLittermanModel

All Implemented Interfaces:

FinancePortfolio

public final class BlackLittermanModel
extends CovarianceBasedModel

Field Summary

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

DEBUG

Constructor Summary

BlackLittermanModel(CovarianceBasedModel aCovarianceBasedModel, BasicMatrix someOriginalWeights)

BlackLittermanModel(MarketEquilibrium aMarketEquilibrium, BasicMatrix someOriginalWeights)

Method Summary

void	addView(MeanVarianceAsset aView)
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, BigDecimal aReturn)
void	addViewWithScaledConfidence(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aScale)
void	addViewWithStandardDeviation(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aStdDev)
void	addViewWithVariance(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aVariance)
BigDecimal	getConfidence() "weight on views" or "tau"
void	setConfidence(BigDecimal aWeight)

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

getCovariances, getImpliedRiskAversion, getInstrumentReturns, getInstrumentWeights, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, setRiskAversion

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

getVaR90, getVaR95, getVaR98, getVaR99, getVolatility

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackLittermanModel

public BlackLittermanModel(CovarianceBasedModel aCovarianceBasedModel,
                           BasicMatrix someOriginalWeights)

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium aMarketEquilibrium,
                           BasicMatrix someOriginalWeights)

Method Detail

addView

public final void addView(MeanVarianceAsset aView)

addViewWithBalancedConfidence

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

addViewWithScaledConfidence

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

addViewWithStandardDeviation

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

addViewWithVariance

public final void addViewWithVariance(List<BigDecimal> someWeights,
                                      BigDecimal aReturn,
                                      BigDecimal aVariance)

getConfidence

public final BigDecimal getConfidence()

"weight on views" or "tau"

setConfidence

public final void setConfidence(BigDecimal aWeight)