org.drip.portfolioconstruction.allocator

Class CustomRiskUtilitySettings

java.lang.Object

org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings

public class CustomRiskUtilitySettings
extends java.lang.Object

CustomRiskUtilitySettings contains the settings used to generate the Risk Objective Utility Function. It accommodates both the Risk Tolerance and Risk Aversion Variants.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CustomRiskUtilitySettings(double dblRiskAversion, double dblRiskTolerance) CustomRiskUtilitySettings Constructor

Method Summary

Modifier and Type	Method and Description
double	riskAversion() Retrieve the Risk Aversion Factor
static CustomRiskUtilitySettings	RiskAversion(double dblRiskAversion) The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance
RdToR1	riskObjectiveUtility(java.lang.String[] astrAssetID, AssetUniverseStatisticalProperties ausp) Retrieve the Custom Risk Objective Utility Multivariate
double	riskTolerance() Retrieve the Risk Tolerance Factor
static CustomRiskUtilitySettings	RiskTolerant(double dblRiskTolerance) The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance
static CustomRiskUtilitySettings	VarianceMinimizer() The Variance Minimizer CustomRiskUtilitySettings Instance

Methods inherited from class java.lang.Object

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

Constructor Detail

CustomRiskUtilitySettings

public CustomRiskUtilitySettings(double dblRiskAversion,
                                 double dblRiskTolerance)
                          throws java.lang.Exception

CustomRiskUtilitySettings Constructor

Parameters:

dblRiskAversion - The Risk Aversion Parameter

dblRiskTolerance - The Risk Tolerance Parameter

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

VarianceMinimizer

public static final CustomRiskUtilitySettings VarianceMinimizer()

The Variance Minimizer CustomRiskUtilitySettings Instance

Returns:

The Variance Minimizer CustomRiskUtilitySettings Instance

RiskTolerant

public static final CustomRiskUtilitySettings RiskTolerant(double dblRiskTolerance)

The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance

Parameters:

dblRiskTolerance - The Risk Tolerance Parameter

Returns:

The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance

RiskAversion

public static final CustomRiskUtilitySettings RiskAversion(double dblRiskAversion)

The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance

Parameters:

dblRiskAversion - The Risk Aversion Parameter

Returns:

The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance

riskAversion

public double riskAversion()

Retrieve the Risk Aversion Factor

Returns:

The Risk Aversion Factor

riskTolerance

public double riskTolerance()

Retrieve the Risk Tolerance Factor

Returns:

The Risk Tolerance Factor

riskObjectiveUtility

public RdToR1 riskObjectiveUtility(java.lang.String[] astrAssetID,
                                   AssetUniverseStatisticalProperties ausp)

Retrieve the Custom Risk Objective Utility Multivariate

Parameters:

astrAssetID - Array of the Asset IDs

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Custom Risk Objective Utility Multivariate