Package org.akutan.optimization

Interface Summary
LMObjective This is the interface implemented by a cost function suitable for optimization using the Levenberg-Marquardt algorithm.
Solver  
 

Class Summary
ActiveSetSolver  
BayesSteinSolver This class encapsulates an example of shrinking the returns and covariance using Bayes-Stein shrinkage as descried in Jorion, 1986.
Constraint Base class for linear optimization constraints
ConstraintDialog Used to manage input of a Black-Litterman style view on the returns of assets
EntropySolver This class encapsulates an example of solving for the optimal portfolio using the entropy measure.
InteriorPointsReturn  
InteriorPointsSolver  
InteriorPointsUtility  
IPConsVector This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
IPMatrix This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
IPVector This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
LedoitWolfSolver This class encapsulates an example of solving for the optimal portfolio using the shrinkage model described in "Honey I Shrunk the Covariance Matrix", by Ledoit and Wolf, 2003.
LMSolver This class minimizes the objective function subject to the Levenberg-Marquardt algorithm.
NewtonSolver  
ReturnSolver  
RevisedSimplex  
RobustOptimization  
SASolution Consists of the vector of weights before processing and a convenience data structure to identify which assets are in the weight vector.
SimulatedAnnealing Class implements a simple Simulated Annealing algorithm from Chang et al, "Heuristics for Cardinality Constrained Portfolio Optimization", Computers & Operations Research, 27 (2000), 1271-1302.
SimulatedAnnealing2  
SimulationSolver This class encapsulates the simulation method described in the Farrely article from Journal of Investing, Winter 2006.
SolvedPoint  
SphericalShrinkageSolver This class encapsulates an example of solving for the optimal portfolio using the Spherical Shrinkage, taken from Meucci, Chapter 4.
StatePreference  
StateReturnSolver  
TutuncuKoenigExample This example attempts to replicate the example from Tutuncu and Koenig, this is the naive example with a box constraint on the mean and covariance and we assume the worst case for all means and covariances simultaneously.
UnconstrainedSolver Created on Nov 3, 2005 Unconstrained solution to mean variance portfolio optimization.
UtilitySolver Subclass of ActiveSetSolver that solves the mean variance portfolio optimization problem by minimizing the utility for a given risk aversion parameter.
 

Enum Summary
Constraint.Type