org.akutan.optimization.diversified
Class DiversifiedReturn

java.lang.Object
  extended by org.akutan.optimization.diversified.DivInteriorPointsSolver
      extended by org.akutan.optimization.diversified.DiversifiedReturn
All Implemented Interfaces:
Solver

public class DiversifiedReturn
extends DivInteriorPointsSolver
implements Solver


Field Summary
 
Fields inherited from class org.akutan.optimization.diversified.DivInteriorPointsSolver
df
 
Constructor Summary
DiversifiedReturn(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V, double f)
          Constructs
 
Method Summary
 java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints, org.akutan.optimization.ProgressIndicator progress)
          Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.
 
Methods inherited from class org.akutan.optimization.diversified.DivInteriorPointsSolver
addPoint, algorithm, computeAlpha, formatOutput, generate_b, generate_d, getEqualityConstraints, getInequalityConstraints, initialGuess, prettyPrint, solvePoint
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

DiversifiedReturn

public DiversifiedReturn(cern.colt.matrix.DoubleMatrix1D e_r,
                         cern.colt.matrix.DoubleMatrix2D V,
                         double f)
Constructs

Parameters:
e_r - Expected return by asset
V - Covariance matrix
f - Diversification factor
Method Detail

solve

public java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints,
                                         org.akutan.optimization.ProgressIndicator progress)
Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.

Specified by:
solve in interface Solver
Parameters:
extraConstraints - Additional constraints beyond those implied
Returns:
List List of pts on the efficient frontier