Class FixedReturnsPortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
org.ojalgo.data.domain.finance.portfolio.FixedReturnsPortfolio
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
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Nested Class Summary
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
FieldsFields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsModifierConstructorDescriptionprivate
FixedReturnsPortfolio
(MarketEquilibrium aMarketEquilibrium) FixedReturnsPortfolio
(MarketEquilibrium aMarketEquilibrium, MatrixR064 returnsVector) -
Method Summary
Modifier and TypeMethodDescriptionprotected MatrixR064
protected MatrixR064
void
calibrate
(List<? extends Comparable<?>> targetWeights) void
calibrate
(FinancePortfolio targetWeights) 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, reset, 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
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Field Details
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myReturns
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Constructor Details
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FixedReturnsPortfolio
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FixedReturnsPortfolio
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FixedReturnsPortfolio
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Method Details
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calibrate
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calibrate
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calculateAssetReturns
- Specified by:
calculateAssetReturns
in classEquilibriumModel
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calculateAssetWeights
- Specified by:
calculateAssetWeights
in classEquilibriumModel
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