org.akutan.blacklitterman
Class HeLitterman

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

public class HeLitterman
extends BlackLitterman

Provides test data and harness to reproduce the results from the He & Litterman paper on the Black-Litterman portfolio optimization method.

Since:
February 3, 2006

Field Summary
 
Fields inherited from class org.akutan.blacklitterman.BlackLitterman
modifyVariance
 
Constructor Summary
HeLitterman()
           
 
Method Summary
 java.lang.String[] getAssetNames()
           
 cern.colt.matrix.DoubleMatrix1D getMarketWeights()
          Returns the market weights from the example shown in the He-Litterman, 1999 paper
 cern.colt.matrix.DoubleMatrix2D getTestV()
          Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
static void main(java.lang.String[] args)
           
 cern.colt.matrix.DoubleMatrix2D transpose(cern.colt.matrix.DoubleMatrix1D d)
           
 
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

HeLitterman

public HeLitterman()
Method Detail

getMarketWeights

public cern.colt.matrix.DoubleMatrix1D getMarketWeights()
Returns the market weights from the example shown in the He-Litterman, 1999 paper

Returns:
Vector of market weights for the assets.

getTestV

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

Returns:
Covariance matrix for the assets

getAssetNames

public java.lang.String[] getAssetNames()

transpose

public cern.colt.matrix.DoubleMatrix2D transpose(cern.colt.matrix.DoubleMatrix1D d)

main

public static void main(java.lang.String[] args)
Parameters:
args -