Class EfficientFrontier
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
org.ojalgo.data.domain.finance.portfolio.EfficientFrontier
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
Represents a portfolio on the efficient fronter. You get different efficient portfolios by altering the
risk aversion.
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Nested Class Summary
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
OptimisedPortfolio.Optimiser, OptimisedPortfolio.Template
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
FieldsModifier and TypeFieldDescriptionprivate static final Map
<int[], LowerUpper> private final ExpressionsBasedModel
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
BALANCE, VARIANCE
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsConstructorDescriptionEfficientFrontier
(FinancePortfolio.Context portfolioContext) EfficientFrontier
(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) EfficientFrontier
(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns) -
Method Summary
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
calculateAssetReturns, getOptimisationOptions, getVariable, handle, isShortingAllowed, makeModel, optimiser, setShortingAllowed
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
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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CONSTRAINTS
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myOptimisationModel
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Constructor Details
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EfficientFrontier
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EfficientFrontier
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EfficientFrontier
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Method Details
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calculateAssetWeights
- Specified by:
calculateAssetWeights
in classEquilibriumModel
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reset
protected void reset()- Overrides:
reset
in classOptimisedPortfolio
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