org.ojalgo.finance.portfolio
Class MeanVarianceAsset

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

All Implemented Interfaces:

FinancePortfolio

Direct Known Subclasses:

CovarianceBasedModel, NormalisedPortfolio, SimpleInstrument

public abstract class MeanVarianceAsset
extends Object
implements FinancePortfolio

An asset is a financial instrument that can be bought and sold.

A portfolio is a collection/combination of assets as well as an asset itself.

(Any asset can be viewed as a portfolio containing only itself.)

Author:

apete

Method Summary

abstract BigDecimal	getMeanReturn() The mean/expected return of this asset.
BigDecimal	getReturnVariance() The asset's return variance.
BigDecimal	getSharpeRation()
BigDecimal	getVaR90()
BigDecimal	getVaR95()
BigDecimal	getVaR98()
BigDecimal	getVaR99()
BigDecimal	getVolatility() Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.
abstract List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.

Methods inherited from class java.lang.Object

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

Method Detail

getMeanReturn

public abstract BigDecimal getMeanReturn()

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

getReturnVariance

public BigDecimal getReturnVariance()

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

Specified by:

getReturnVariance in interface FinancePortfolio

getSharpeRation

public final BigDecimal getSharpeRation()

getVaR90

public final BigDecimal getVaR90()

getVaR95

public final BigDecimal getVaR95()

getVaR98

public final BigDecimal getVaR98()

getVaR99

public final BigDecimal getVaR99()

getVolatility

public BigDecimal getVolatility()

Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon. It is often used to quantify the risk of the asset over that time period. Subclasses must override either getReturnVariance() or getVolatility().

Specified by:

getVolatility in interface FinancePortfolio

getWeights

public abstract List<BigDecimal> getWeights()

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

Specified by:

getWeights in interface FinancePortfolio