Package org.ojalgo.data.domain.finance.portfolio
Classes in this package relate to modelling of financial investment portfolios, and Modern Portfolio
Theory.
- An asset is a resource with economic value, and something that can be owned.
- A portfolio is a collection of something (anything).
- An instrument is a tool or device - an enabler.
- Financial instruments enable financial transactions, and are defined in terms of assets. A financial instrument can for instance be evidence of ownership of, or a contractual right/obligation to receive or deliver, an asset.
- Financial portfolios contain financial instruments. Typically, in terms of investments, it is a collection of assets with a common owner.
- The distiction between assets, instruments and portfolios is fuzzy, and the terms can often be used interchangeably. Here the term portfolio represents the collection and ownership, and the term asset represents components/contents and underlying value. We try to avoid using the term instrument.
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Interface Summary Interface Description FinancePortfolio.Context -
Class Summary Class Description BlackLittermanContext BlackLittermanModel BlackLittermanModel.View View/Forecast/OpinionCharacteristicLine EfficientFrontier Represents a portfolio on the efficient fronter.EquilibriumModel FinancePortfolio A FinancePortfolio is primarily a set of portfolio asset weights.FixedReturnsPortfolio FixedWeightsPortfolio LowerUpper MarketEquilibrium MarketEquilibrium translates between the market portfolio weights and the equilibrium excess returns.MarkowitzModel The Markowitz model, in this class, is defined as:NormalisedPortfolio Normalised weights PortfolioOptimisedPortfolio OptimisedPortfolio.Template PortfolioContext PortfolioMixer SimpleAsset SimpleAsset is used to describe 1 asset (portfolio member).SimplePortfolio