org.akutan.optimization.entropy
Class EntropyReturn

java.lang.Object
  extended by org.akutan.optimization.entropy.EntropyInteriorPointsSolver
      extended by org.akutan.optimization.entropy.EntropyReturn
All Implemented Interfaces:
Solver

public class EntropyReturn
extends EntropyInteriorPointsSolver
implements Solver


Field Summary
 
Fields inherited from class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
df
 
Constructor Summary
EntropyReturn(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.
 cern.colt.matrix.DoubleMatrix1D solveForReturn(double e_r_step, java.util.List<Constraint> extraConstraints)
          Called to solve for the weights for a specified return value.
 
Methods inherited from class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
addPoint, algorithm, computeAlpha, formatOutput, generate_b, generate_d, getEqualityConstraints, getInequalityConstraints, initialGuess, prettyPrint, savePath, setF, solvePoint
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

EntropyReturn

public EntropyReturn(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 - Variance constraint as pct of unconstrained variance (> 1)
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

solveForReturn

public cern.colt.matrix.DoubleMatrix1D solveForReturn(double e_r_step,
                                                      java.util.List<Constraint> extraConstraints)
Called to solve for the weights for a specified return value.

Parameters:
e_r_step -
extraConstraints -
Returns:
The vector of weights which is optimal for the given return level