Class BlackLittermanModel

    • Field Detail

      • myConfidence

        private java.math.BigDecimal myConfidence
      • myOriginalWeights

        private final MatrixR064 myOriginalWeights
    • Constructor Detail

      • BlackLittermanModel

        public BlackLittermanModel​(MarketEquilibrium marketEquilibrium,
                                   MatrixR064 originalWeights)
        Parameters:
        marketEquilibrium - The covariance matrix, and market risk aversion
        originalWeights - The market portfolio
      • BlackLittermanModel

        private BlackLittermanModel​(MarketEquilibrium aMarketEquilibrium)
    • Method Detail

      • addViewWithBalancedConfidence

        public void addViewWithBalancedConfidence​(java.util.List<java.math.BigDecimal> someWeights,
                                                  java.lang.Comparable<?> aReturn)
      • addViewWithScaledConfidence

        public void addViewWithScaledConfidence​(java.util.List<java.math.BigDecimal> someWeights,
                                                java.lang.Comparable<?> aReturn,
                                                java.lang.Comparable<?> aScale)
      • addViewWithStandardDeviation

        public void addViewWithStandardDeviation​(java.util.List<java.math.BigDecimal> weights,
                                                 java.math.BigDecimal expected,
                                                 java.math.BigDecimal stdDev)
      • getConfidence

        public Scalar<?> getConfidence()
        "weight on views" or "tau" A parameter that describes the general confidence in the views. Typically set to sometghing between 0.0 and 1.0. 0.0 = "No confidence!" Why bother... 1.0 = As confident as the market. This is highly unlikely.
      • setConfidence

        public void setConfidence​(java.lang.Comparable<?> aWeight)
        See Also:
        getConfidence()
      • getOriginalReturns

        protected MatrixR064 getOriginalReturns()
      • getViewPortfolios

        protected MatrixR064 getViewPortfolios()
      • getViewReturns

        protected MatrixR064 getViewReturns()
        Scaled by risk aversion factor.
      • getViewVariances

        protected MatrixR064 getViewVariances()
        Scaled by tau / weight on views
      • calculateVariance

        java.math.BigDecimal calculateVariance​(MatrixR064 weights)