org.drip.portfolioconstruction.allocator

Class ConstrainedMeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer

public class ConstrainedMeanVarianceOptimizer
extends MeanVarianceOptimizer

ConstrainedMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties with the Specified Lower/Upper Bounds on the Component Assets.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl ipbc, LineStepEvolutionControl lsec) ConstrainedMeanVarianceOptimizer Constructor

Method Summary

Modifier and Type	Method and Description
OptimizationOutput	allocate(PortfolioConstructionParameters pcp, AssetUniverseStatisticalProperties ausp) Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
OptimizationOutput	globalMinimumVarianceAllocate(PortfolioConstructionParameters pcp, AssetUniverseStatisticalProperties ausp) Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters
OptimizationOutput	longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters pcp, AssetUniverseStatisticalProperties ausp) Allocate the Long-Only Maximum Returns Portfolio

Methods inherited from class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

efficientFrontier

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ConstrainedMeanVarianceOptimizer

public ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl ipbc,
                                        LineStepEvolutionControl lsec)

ConstrainedMeanVarianceOptimizer Constructor

Parameters:

ipbc - Interior Fixed Point Barrier Control Parameters

lsec - Line Step Evolution Control Parameters

Method Detail

longOnlyMaximumReturnsAllocate

public OptimizationOutput longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters pcp,
                                                         AssetUniverseStatisticalProperties ausp)

Description copied from class: MeanVarianceOptimizer

Allocate the Long-Only Maximum Returns Portfolio

Specified by:

longOnlyMaximumReturnsAllocate in class MeanVarianceOptimizer

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Long-Only Maximum Returns Portfolio

globalMinimumVarianceAllocate

public OptimizationOutput globalMinimumVarianceAllocate(PortfolioConstructionParameters pcp,
                                                        AssetUniverseStatisticalProperties ausp)

Description copied from class: MeanVarianceOptimizer

Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters

Specified by:

globalMinimumVarianceAllocate in class MeanVarianceOptimizer

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Global Minimum Variance Portfolio

allocate

public OptimizationOutput allocate(PortfolioConstructionParameters pcp,
                                   AssetUniverseStatisticalProperties ausp)

Description copied from class: MeanVarianceOptimizer

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Specified by:

allocate in class MeanVarianceOptimizer

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio