Class Summary 
ActiveSetSolver 

BayesSteinSolver 
This class encapsulates an example of shrinking the returns and covariance
using BayesStein shrinkage as descried in Jorion, 1986. 
Constraint 
Base class for linear optimization constraints 
ConstraintDialog 
Used to manage input of a BlackLitterman 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
LevenbergMarquardt 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), 12711302. 
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. 