org.akutan.blacklitterman.test
Class MeanVarianceTest

java.lang.Object
  extended by junit.framework.Assert
      extended by junit.framework.TestCase
          extended by org.akutan.blacklitterman.test.MeanVarianceTest
All Implemented Interfaces:
junit.framework.Test

public class MeanVarianceTest
extends junit.framework.TestCase


Constructor Summary
MeanVarianceTest()
           
 
Method Summary
 cern.colt.matrix.DoubleMatrix1D getMarketWeights()
          Returns the market weights from the example shown in the He-Litterman, 1999 paper
protected  cern.colt.matrix.DoubleMatrix1D getReturns(double delta, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D w)
           
 cern.colt.matrix.DoubleMatrix2D getVariance()
          Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
 void testBudgetConstrained()
          This test case based on the values in the He/Litterman paper on Black-Litterman.
 void testUnconstrained()
          This test case based on the values in the He/Litterman paper on Black-Litterman.
 
Methods inherited from class junit.framework.TestCase
countTestCases, createResult, getName, run, run, runBare, runTest, setName, setUp, tearDown, toString
 
Methods inherited from class junit.framework.Assert
assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertFalse, assertFalse, assertNotNull, assertNotNull, assertNotSame, assertNotSame, assertNull, assertNull, assertSame, assertSame, assertTrue, assertTrue, fail, fail, failNotEquals, failNotSame, failSame, format
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
 

Constructor Detail

MeanVarianceTest

public MeanVarianceTest()
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.

getVariance

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

Returns:
Covariance matrix for the assets

getReturns

protected cern.colt.matrix.DoubleMatrix1D getReturns(double delta,
                                                     cern.colt.matrix.DoubleMatrix2D V,
                                                     cern.colt.matrix.DoubleMatrix1D w)

testUnconstrained

public void testUnconstrained()
This test case based on the values in the He/Litterman paper on Black-Litterman.


testBudgetConstrained

public void testBudgetConstrained()
This test case based on the values in the He/Litterman paper on Black-Litterman.