Class OptimisedPortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
- Direct Known Subclasses:
EfficientFrontier
,MarkowitzModel
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Nested Class Summary
Nested ClassesModifier and TypeClassDescriptionfinal class
(package private) static final class
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
FieldsModifier and TypeFieldDescription(package private) static final String
private final MatrixR064
private final Optimisation.Options
private Optimisation.State
private boolean
private final OptimisedPortfolio.Template[]
(package private) static final String
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsConstructorDescriptionOptimisedPortfolio
(FinancePortfolio.Context portfolioContext) OptimisedPortfolio
(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) OptimisedPortfolio
(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns) -
Method Summary
Modifier and TypeMethodDescriptionprotected final MatrixR064
(package private) final Optimisation.Options
(package private) OptimisedPortfolio.Template
getVariable
(int index) protected final MatrixR064
handle
(Optimisation.Result optimisationResult) final boolean
(package private) final ExpressionsBasedModel
makeModel
(Map<int[], LowerUpper> constraints) protected void
reset()
final void
setShortingAllowed
(boolean allowed) Methods inherited from class org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
calculateAssetReturns, calculateAssetWeights, 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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BALANCE
- See Also:
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VARIANCE
- See Also:
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myExpectedExcessReturns
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myOptimisationOptions
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myOptimisationState
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myShortingAllowed
private boolean myShortingAllowed -
myTemplates
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Constructor Details
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OptimisedPortfolio
OptimisedPortfolio(FinancePortfolio.Context portfolioContext) -
OptimisedPortfolio
OptimisedPortfolio(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) -
OptimisedPortfolio
OptimisedPortfolio(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
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Method Details
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isShortingAllowed
public final boolean isShortingAllowed() -
optimiser
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setShortingAllowed
public final void setShortingAllowed(boolean allowed) -
calculateAssetReturns
- Specified by:
calculateAssetReturns
in classEquilibriumModel
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handle
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reset
protected void reset()- Overrides:
reset
in classEquilibriumModel
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getOptimisationOptions
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getVariable
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makeModel
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