Class OptimisedPortfolio
- java.lang.Object
-
- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
-
- org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
-
- org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
-
- All Implemented Interfaces:
java.lang.Comparable<FinancePortfolio>
,FinancePortfolio.Context
- Direct Known Subclasses:
EfficientFrontier
,MarkowitzModel
abstract class OptimisedPortfolio extends EquilibriumModel
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description class
OptimisedPortfolio.Optimiser
(package private) static class
OptimisedPortfolio.Template
-
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
-
-
Field Summary
Fields Modifier and Type Field Description (package private) static java.lang.String
BALANCE
private MatrixR064
myExpectedExcessReturns
private Optimisation.Options
myOptimisationOptions
private Optimisation.State
myOptimisationState
private boolean
myShortingAllowed
private OptimisedPortfolio.Template[]
myTemplates
(package private) static java.lang.String
VARIANCE
-
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
-
-
Constructor Summary
Constructors Constructor Description OptimisedPortfolio(FinancePortfolio.Context portfolioContext)
OptimisedPortfolio(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
OptimisedPortfolio(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected MatrixR064
calculateAssetReturns()
(package private) Optimisation.Options
getOptimisationOptions()
(package private) OptimisedPortfolio.Template
getVariable(int index)
protected MatrixR064
handle(Optimisation.Result optimisationResult)
boolean
isShortingAllowed()
(package private) ExpressionsBasedModel
makeModel(java.util.Map<int[],LowerUpper> constraints)
OptimisedPortfolio.Optimiser
optimiser()
protected void
reset()
void
setShortingAllowed(boolean allowed)
-
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
calculateAssetReturns, calculateAssetWeights, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString
-
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise
-
-
-
-
Field Detail
-
BALANCE
static final java.lang.String BALANCE
- See Also:
- Constant Field Values
-
VARIANCE
static final java.lang.String VARIANCE
- See Also:
- Constant Field Values
-
myExpectedExcessReturns
private final MatrixR064 myExpectedExcessReturns
-
myOptimisationOptions
private final Optimisation.Options myOptimisationOptions
-
myOptimisationState
private transient Optimisation.State myOptimisationState
-
myShortingAllowed
private boolean myShortingAllowed
-
myTemplates
private final OptimisedPortfolio.Template[] myTemplates
-
-
Constructor Detail
-
OptimisedPortfolio
OptimisedPortfolio(FinancePortfolio.Context portfolioContext)
-
OptimisedPortfolio
OptimisedPortfolio(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
-
OptimisedPortfolio
OptimisedPortfolio(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
-
-
Method Detail
-
isShortingAllowed
public final boolean isShortingAllowed()
-
optimiser
public OptimisedPortfolio.Optimiser optimiser()
-
setShortingAllowed
public final void setShortingAllowed(boolean allowed)
-
calculateAssetReturns
protected final MatrixR064 calculateAssetReturns()
- Specified by:
calculateAssetReturns
in classEquilibriumModel
-
handle
protected final MatrixR064 handle(Optimisation.Result optimisationResult)
-
reset
protected void reset()
- Overrides:
reset
in classEquilibriumModel
-
getOptimisationOptions
final Optimisation.Options getOptimisationOptions()
-
getVariable
OptimisedPortfolio.Template getVariable(int index)
-
makeModel
final ExpressionsBasedModel makeModel(java.util.Map<int[],LowerUpper> constraints)
-
-