org.akutan.blacklitterman
Class FusaiMeucci

java.lang.Object
  extended by org.akutan.blacklitterman.BlackLitterman
      extended by org.akutan.blacklitterman.FusaiMeucci

public class FusaiMeucci
extends BlackLitterman

Provides test data and harness to reproduce the results from the Fusai and Meucci paper on assessing views for the Black-Litterman portfolio optimization method.

Since:
February 3, 2006

Field Summary
 
Fields inherited from class org.akutan.blacklitterman.BlackLitterman
modifyVariance
 
Constructor Summary
FusaiMeucci()
           
 
Method Summary
 BLResults applyBL2(java.lang.String[] assets, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D pi, BLViews views, double tau, double delta, cern.colt.matrix.DoubleMatrix1D w, cern.colt.matrix.DoubleMatrix1D wr)
          We override this method here as we need to perform a constrained optimization to get the weights which match the paper.
protected  cern.colt.matrix.DoubleMatrix1D computeEr2(cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D pi, BLViews views, double tau)
          Called to apply the Black-Litterman transform to the inputs to compute a new excess return vector assuming 100% certainty in the estimates.
 java.lang.String[] getAssetNames()
          Returns asset names
 cern.colt.matrix.DoubleMatrix2D getTestV()
          Returns the covariance matrix for the example shown in the Fusai and Meucci paper on Black-Litterman.
static void main(java.lang.String[] args)
          Main test driver for the implementation of the model used in the Fusai and Meucci 2005 paper in Risk.
 
Methods inherited from class org.akutan.blacklitterman.BlackLitterman
applyBL, applyBL, computeDelta, computeEr, computeImpliedWeights, computeInterval, computeKLIC, computeLambda, computeLambdaN, computePartialTevSensitities, computeTev, computeTevSensitities, computeV, getViewVariance, isModifyVariance, maxValue, mehalanobisDistance, overallProbability, reverseOptimize, sensitivities, setModifyVariance
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

FusaiMeucci

public FusaiMeucci()
Method Detail

getTestV

public cern.colt.matrix.DoubleMatrix2D getTestV()
Returns the covariance matrix for the example shown in the Fusai and Meucci paper on Black-Litterman.

Returns:
Covariance matrix for the assets

getAssetNames

public java.lang.String[] getAssetNames()
Returns asset names

Returns:
Array of asset names

computeEr2

protected cern.colt.matrix.DoubleMatrix1D computeEr2(cern.colt.matrix.DoubleMatrix2D V,
                                                     cern.colt.matrix.DoubleMatrix1D pi,
                                                     BLViews views,
                                                     double tau)
Called to apply the Black-Litterman transform to the inputs to compute a new excess return vector assuming 100% certainty in the estimates.

Parameters:
V - Covariance matrix
pi - Vector of equilibrium returns
views - Views to apply
tau - BL prior confidence parameter
Returns:
vector of asset excess returns

applyBL2

public BLResults applyBL2(java.lang.String[] assets,
                          cern.colt.matrix.DoubleMatrix2D V,
                          cern.colt.matrix.DoubleMatrix1D pi,
                          BLViews views,
                          double tau,
                          double delta,
                          cern.colt.matrix.DoubleMatrix1D w,
                          cern.colt.matrix.DoubleMatrix1D wr)
We override this method here as we need to perform a constrained optimization to get the weights which match the paper.

See Also:
BlackLitterman.applyBL(java.lang.String[], cern.colt.matrix.DoubleMatrix2D, cern.colt.matrix.DoubleMatrix1D, org.akutan.blacklitterman.BLViews, double, double, cern.colt.matrix.DoubleMatrix1D)

main

public static void main(java.lang.String[] args)
Main test driver for the implementation of the model used in the Fusai and Meucci 2005 paper in Risk.

Parameters:
args -