org.ojalgo.finance.portfolio
Class CovarianceBasedModel

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

All Implemented Interfaces:

FinancePortfolio

Direct Known Subclasses:

BlackLittermanModel, EquilibriumReturnsPortfolio, EquilibriumWeightsPortfolio, MarkowitzModel, SimplePortfolio, StrategicShift, StrategicTransformation

public abstract class CovarianceBasedModel
extends MeanVarianceAsset

Method Summary

BasicMatrix	getCovariances()
BigDecimal	getImpliedRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
BasicMatrix	getInstrumentReturns()
BasicMatrix	getInstrumentWeights()
BigDecimal	getMeanReturn() The mean/expected return of this asset.
BigDecimal	getReturnVariance() The asset's return variance.
BigDecimal	getRiskAversion()
String[]	getSymbols()
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
void	setRiskAversion(BigDecimal aFactor)

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

getSharpeRation, getVaR90, getVaR95, getVaR98, getVaR99, getVolatility

Methods inherited from class java.lang.Object

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

Method Detail

getCovariances

public final BasicMatrix getCovariances()

getImpliedRiskAversion

public final BigDecimal getImpliedRiskAversion(BasicMatrix aWeightsVctr,
                                               BasicMatrix aReturnsVctr)

getInstrumentReturns

public final BasicMatrix getInstrumentReturns()

getInstrumentWeights

public final BasicMatrix getInstrumentWeights()

getMeanReturn

public final BigDecimal getMeanReturn()

Description copied from class: MeanVarianceAsset

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

Specified by:

getMeanReturn in interface FinancePortfolio

Specified by:

getMeanReturn in class MeanVarianceAsset

getReturnVariance

public final BigDecimal getReturnVariance()

Description copied from class: MeanVarianceAsset

The asset's return variance. Subclasses must override either MeanVarianceAsset.getReturnVariance() or MeanVarianceAsset.getVolatility().

Specified by:

getReturnVariance in interface FinancePortfolio

Overrides:

getReturnVariance in class MeanVarianceAsset

getRiskAversion

public final BigDecimal getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from class: MeanVarianceAsset

This method returns a list of the weights of the Portfolio's contained assets.

Specified by:

getWeights in interface FinancePortfolio

Specified by:

getWeights in class MeanVarianceAsset

setRiskAversion

public final void setRiskAversion(BigDecimal aFactor)