org.ojalgo.finance.portfolio
Class EquilibriumWeightsPortfolio

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

All Implemented Interfaces:

FinancePortfolio

public final class EquilibriumWeightsPortfolio
extends CovarianceBasedModel

Field Summary

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

DEBUG

Constructor Summary

EquilibriumWeightsPortfolio(CovarianceBasedModel aCovarianceBasedModel, BasicMatrix aPortfolio)

EquilibriumWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, BasicMatrix aPortfolio)

Method Summary

void	calibrate(BasicMatrix aReturnsVctr)
void	calibrate(CovarianceBasedModel aPortfolio)
void	calibrate(List<BigDecimal> aReturnsList)

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

EquilibriumWeightsPortfolio

public EquilibriumWeightsPortfolio(CovarianceBasedModel aCovarianceBasedModel,
                                   BasicMatrix aPortfolio)

EquilibriumWeightsPortfolio

public EquilibriumWeightsPortfolio(MarketEquilibrium aMarketEquilibrium,
                                   BasicMatrix aPortfolio)

Method Detail

calibrate

public void calibrate(BasicMatrix aReturnsVctr)

calibrate

public void calibrate(CovarianceBasedModel aPortfolio)

calibrate

public void calibrate(List<BigDecimal> aReturnsList)