org.akutan.blacklitterman
Class MeanVariance

java.lang.Object
  extended by org.akutan.blacklitterman.MeanVariance

public class MeanVariance
extends java.lang.Object


Constructor Summary
MeanVariance()
           
 
Method Summary
static cern.colt.matrix.DoubleMatrix1D budgetConstrainedWeights(double delta, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D mu)
          Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights subject to a budget constraint.
static cern.colt.matrix.DoubleMatrix1D unconstrainedWeights(double delta, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D mu)
          Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

MeanVariance

public MeanVariance()
Method Detail

unconstrainedWeights

public static cern.colt.matrix.DoubleMatrix1D unconstrainedWeights(double delta,
                                                                   cern.colt.matrix.DoubleMatrix2D V,
                                                                   cern.colt.matrix.DoubleMatrix1D mu)
Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights.

Parameters:
delta -
V -
mu -
Returns:
Matrix of implied weights

budgetConstrainedWeights

public static cern.colt.matrix.DoubleMatrix1D budgetConstrainedWeights(double delta,
                                                                       cern.colt.matrix.DoubleMatrix2D V,
                                                                       cern.colt.matrix.DoubleMatrix1D mu)
Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights subject to a budget constraint.

Parameters:
delta -
V -
mu -
Returns:
Matrix of implied weights