org.ojalgo.finance.portfolio
Class StrategicShift

java.lang.Object
  org.ojalgo.finance.portfolio.FinancePortfolio
      org.ojalgo.finance.portfolio.StrategicShift

Deprecated. v30

@Deprecated
public final class StrategicShift
extends FinancePortfolio

Author:

apete

Constructor Summary

StrategicShift(BlackLittermanModel aBlackLittermanModel, BasicMatrix someStrategicWeights)
Deprecated.

StrategicShift(BlackLittermanModel aBlackLittermanModel, FinancePortfolio aStrategicPortfolio)
Deprecated.

StrategicShift(BlackLittermanModel aBlackLittermanModel, List<BigDecimal> someStrategicWeights)
Deprecated.

Method Summary

BasicMatrix	getAssetReturns()
BasicMatrix	getAssetWeights()
BigDecimal	getChangeMultiplier() Deprecated. Inverse Risk Aversion Conversion Factor
BigDecimal	getConformance() Deprecated.
BasicMatrix	getCovariances()
BigDecimal	getImpliedRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
double	getMeanReturn() The mean/expected return of this instrument.
double	getReturnVariance() The instrument'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(Number aFactor)

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

forecast, getSharpeRatio, getValueAtRisk, getVolatility, normalise, shift

Methods inherited from class java.lang.Object

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

Constructor Detail

StrategicShift

public StrategicShift(BlackLittermanModel aBlackLittermanModel,
                      BasicMatrix someStrategicWeights)

Deprecated.

StrategicShift

public StrategicShift(BlackLittermanModel aBlackLittermanModel,
                      FinancePortfolio aStrategicPortfolio)

Deprecated.

StrategicShift

public StrategicShift(BlackLittermanModel aBlackLittermanModel,
                      List<BigDecimal> someStrategicWeights)

Deprecated.

Method Detail

getChangeMultiplier

public final BigDecimal getChangeMultiplier()

Deprecated.

Inverse Risk Aversion Conversion Factor

getConformance

public final BigDecimal getConformance()

Deprecated.

getAssetReturns

public final BasicMatrix getAssetReturns()

getAssetWeights

public final BasicMatrix getAssetWeights()

getCovariances

public final BasicMatrix getCovariances()

getImpliedRiskAversion

public final BigDecimal getImpliedRiskAversion(BasicMatrix aWeightsVctr,
                                               BasicMatrix aReturnsVctr)

getMeanReturn

public final double getMeanReturn()

Description copied from class: FinancePortfolio

The mean/expected return of this instrument. May return either the absolute or excess return of the instrument. The context in which an instance is used should make it clear which. Calling FinancePortfolio.shift(Number) with an appropriate argument will transform between absolute and excess return.

Specified by:

getMeanReturn in class FinancePortfolio

getReturnVariance

public final double getReturnVariance()

Description copied from class: FinancePortfolio

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

Overrides:

getReturnVariance in class FinancePortfolio

getRiskAversion

public final BigDecimal getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from class: FinancePortfolio

This method returns a list of the weights of the Portfolio's contained assets. An asset weight is NOT restricted to being a share/percentage - it can be anything. Most subclasses do however assume that the list of asset weights are shares/percentages that sum up to 100%. Calling FinancePortfolio.normalise() will transform any set of weights to that form.

Specified by:

getWeights in class FinancePortfolio

setRiskAversion

public final void setRiskAversion(Number aFactor)