Class FixedWeightsPortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
org.ojalgo.data.domain.finance.portfolio.FixedWeightsPortfolio
- 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
ConstructorsModifierConstructorDescriptionFixedWeightsPortfolio
(FinancePortfolio.Context aContext, FinancePortfolio weightsPortfolio) private
FixedWeightsPortfolio
(MarketEquilibrium aMarketEquilibrium) FixedWeightsPortfolio
(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn) -
Method Summary
Modifier and TypeMethodDescriptionprotected MatrixR064
protected MatrixR064
void
calibrate
(List<? extends Comparable<?>> targetReturns) void
calibrate
(FinancePortfolio.Context targetReturns) 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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myWeights
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Constructor Details
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FixedWeightsPortfolio
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FixedWeightsPortfolio
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FixedWeightsPortfolio
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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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