Class EfficientFrontier
- java.lang.Object
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- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
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- org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
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- org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
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- org.ojalgo.data.domain.finance.portfolio.EfficientFrontier
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- All Implemented Interfaces:
java.lang.Comparable<FinancePortfolio>
,FinancePortfolio.Context
public final class EfficientFrontier extends OptimisedPortfolio
Represents a portfolio on the efficient fronter. You get different efficient portfolios by altering the risk aversion.
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Nested Class Summary
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Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
OptimisedPortfolio.Optimiser, OptimisedPortfolio.Template
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Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
Fields Modifier and Type Field Description private static java.util.Map<int[],LowerUpper>
CONSTRAINTS
private ExpressionsBasedModel
myOptimisationModel
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Fields inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
BALANCE, VARIANCE
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Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
Constructors Constructor Description EfficientFrontier(FinancePortfolio.Context portfolioContext)
EfficientFrontier(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
EfficientFrontier(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected MatrixR064
calculateAssetWeights()
protected void
reset()
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Methods inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
calculateAssetReturns, getOptimisationOptions, getVariable, handle, isShortingAllowed, makeModel, optimiser, setShortingAllowed
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Methods inherited from class org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
calculateAssetReturns, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString
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Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise
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Field Detail
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CONSTRAINTS
private static final java.util.Map<int[],LowerUpper> CONSTRAINTS
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myOptimisationModel
private final ExpressionsBasedModel myOptimisationModel
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Constructor Detail
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EfficientFrontier
public EfficientFrontier(FinancePortfolio.Context portfolioContext)
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EfficientFrontier
public EfficientFrontier(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
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EfficientFrontier
public EfficientFrontier(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
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Method Detail
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calculateAssetWeights
protected MatrixR064 calculateAssetWeights()
- Specified by:
calculateAssetWeights
in classEquilibriumModel
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reset
protected void reset()
- Overrides:
reset
in classOptimisedPortfolio
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