org.ojalgo.finance.portfolio
Class EquilibriumReturnsPortfolio

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

All Implemented Interfaces:

FinancePortfolio

public final class EquilibriumReturnsPortfolio
extends CovarianceBasedModel

Constructor Summary

EquilibriumReturnsPortfolio(CovarianceBasedModel aCovarianceBasedModel, BasicMatrix aReturns)

EquilibriumReturnsPortfolio(MarketEquilibrium aMarketEquilibrium, BasicMatrix aReturns)

Method Summary

void	calibrate(BasicMatrix aWeightsVctr)
void	calibrate(FinancePortfolio aPortfolio)
void	calibrate(List<BigDecimal> aWeightsList)

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

EquilibriumReturnsPortfolio

public EquilibriumReturnsPortfolio(CovarianceBasedModel aCovarianceBasedModel,
                                   BasicMatrix aReturns)

EquilibriumReturnsPortfolio

public EquilibriumReturnsPortfolio(MarketEquilibrium aMarketEquilibrium,
                                   BasicMatrix aReturns)

Method Detail

calibrate

public void calibrate(BasicMatrix aWeightsVctr)

calibrate

public void calibrate(List<BigDecimal> aWeightsList)

calibrate

public void calibrate(FinancePortfolio aPortfolio)