Class BlackLittermanModel
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
org.ojalgo.data.domain.finance.portfolio.BlackLittermanModel
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
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Nested Class Summary
Nested ClassesModifier and TypeClassDescriptionprivate static final class
View/Forecast/OpinionNested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
FieldsModifier and TypeFieldDescriptionprivate BigDecimal
private final MatrixR064
private final List
<FinancePortfolio> Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsModifierConstructorDescriptionBlackLittermanModel
(FinancePortfolio.Context context, FinancePortfolio originalWeights) private
BlackLittermanModel
(MarketEquilibrium aMarketEquilibrium) BlackLittermanModel
(MarketEquilibrium marketEquilibrium, MatrixR064 originalWeights) -
Method Summary
Modifier and TypeMethodDescriptionvoid
addView
(FinancePortfolio aView) void
addViewWithBalancedConfidence
(List<BigDecimal> someWeights, Comparable<?> aReturn) void
addViewWithScaledConfidence
(List<BigDecimal> someWeights, Comparable<?> aReturn, Comparable<?> aScale) void
addViewWithStandardDeviation
(List<BigDecimal> weights, BigDecimal expected, BigDecimal stdDev) protected MatrixR064
protected MatrixR064
(package private) BigDecimal
calculateVariance
(MatrixR064 weights) Scalar
<?> "weight on views" or "tau" A parameter that describes the general confidence in the views.protected MatrixR064
protected MatrixR064
protected MatrixR064
protected MatrixR064
Scaled by risk aversion factor.protected List
<FinancePortfolio> getViews()
protected MatrixR064
Scaled by tau / weight on viewsvoid
setConfidence
(Comparable<?> aWeight) 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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myConfidence
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myOriginalWeights
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myViews
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Constructor Details
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BlackLittermanModel
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BlackLittermanModel
- Parameters:
marketEquilibrium
- The covariance matrix, and market risk aversionoriginalWeights
- The market portfolio
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BlackLittermanModel
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Method Details
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addView
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addViewWithBalancedConfidence
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addViewWithScaledConfidence
public void addViewWithScaledConfidence(List<BigDecimal> someWeights, Comparable<?> aReturn, Comparable<?> aScale) -
addViewWithStandardDeviation
public void addViewWithStandardDeviation(List<BigDecimal> weights, BigDecimal expected, BigDecimal stdDev) -
getConfidence
"weight on views" or "tau" A parameter that describes the general confidence in the views. Typically set to sometghing between 0.0 and 1.0. 0.0 = "No confidence!" Why bother... 1.0 = As confident as the market. This is highly unlikely. -
setConfidence
- See Also:
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calculateAssetReturns
- Specified by:
calculateAssetReturns
in classEquilibriumModel
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calculateAssetWeights
- Specified by:
calculateAssetWeights
in classEquilibriumModel
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getOriginalReturns
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getOriginalWeights
- See Also:
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getViewPortfolios
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getViewReturns
Scaled by risk aversion factor. -
getViews
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getViewVariances
Scaled by tau / weight on views -
calculateVariance
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