org.drip.portfolioconstruction.allocator

Class ForwardReverseOptimizationOutput

java.lang.Object

org.drip.portfolioconstruction.allocator.OptimizationOutput

org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput

public class ForwardReverseOptimizationOutput
extends OptimizationOutput

ForwardReverseOptimizationOutput holds the Metrics that result from a Forward/Reverse Optimization Run.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ForwardReverseOptimizationOutput(Portfolio pfOptimal, PortfolioMetrics pmOptimal, double dblRiskAversion, double[][] aadblAssetExcessReturnsCovariance, double[] adblExpectedAssetExcessReturns) ForwardReverseOptimizationOutput Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	assetExcessReturnsCovariance() Retrieve the Excess Returns Co-variance Matrix between each Pair-wise Asset
PortfolioBenchmarkMetrics	benchmarkMetrics(PortfolioMetrics pmBenchmark) Compute the Portfolio Relative Metrics using the specified Benchmark
double[]	expectedAssetExcessReturns() Retrieve the Array of Expected Excess Returns for each Asset
static ForwardReverseOptimizationOutput	Forward(java.lang.String[] astrAssetID, double[] adblExpectedAssetExcessReturns, double[][] aadblAssetExcessReturnsCovariance, double dblRiskAversion) Construct an Instance of ForwardReverseOptimizationOutput from a Standard Forward Optimize Operation
static ForwardReverseOptimizationOutput	Reverse(Portfolio pfEquilibrium, double[][] aadblAssetExcessReturnsCovariance, double dblRiskAversion) Construct an Instance of ForwardReverseOptimizationOutput from a Standard Reverse Optimize Operation
double	riskAversion() Retrieve the Risk Aversion Coefficient
static ForwardReverseOptimizationOutput	Standard(Portfolio pfOptimal, double dblRiskAversion, double[][] aadblAssetExcessReturnsCovariance, double[] adblExpectedAssetExcessReturns) Construct a Standard Instance of ForwardReverseOptimizationOutput

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

Create, optimalMetrics, optimalPortfolio

Methods inherited from class java.lang.Object

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

Constructor Detail

ForwardReverseOptimizationOutput

public ForwardReverseOptimizationOutput(Portfolio pfOptimal,
                                        PortfolioMetrics pmOptimal,
                                        double dblRiskAversion,
                                        double[][] aadblAssetExcessReturnsCovariance,
                                        double[] adblExpectedAssetExcessReturns)
                                 throws java.lang.Exception

ForwardReverseOptimizationOutput Constructor

Parameters:

pfOptimal - The Optimal Equilibrium Portfolio

pmOptimal - The Optimal Equilibrium Portfolio Metrics

dblRiskAversion - The Risk Aversion Parameter

aadblAssetExcessReturnsCovariance - Pair-wise Asset Excess Returns Co-variance Matrix

adblExpectedAssetExcessReturns - Array of Expected Excess Returns

Throws:

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

Method Detail

Reverse

public static final ForwardReverseOptimizationOutput Reverse(Portfolio pfEquilibrium,
                                                             double[][] aadblAssetExcessReturnsCovariance,
                                                             double dblRiskAversion)

Construct an Instance of ForwardReverseOptimizationOutput from a Standard Reverse Optimize Operation

Parameters:

pfEquilibrium - The Equilibrium Portfolio

aadblAssetExcessReturnsCovariance - Pair-wse Asset Excess Returns Co-variance Matrix

dblRiskAversion - The Risk Aversion Parameter

Returns:

The Instance of ForwardReverseOptimizationOutput from a Standard Reverse Optimize Operation

Forward

public static final ForwardReverseOptimizationOutput Forward(java.lang.String[] astrAssetID,
                                                             double[] adblExpectedAssetExcessReturns,
                                                             double[][] aadblAssetExcessReturnsCovariance,
                                                             double dblRiskAversion)

Construct an Instance of ForwardReverseOptimizationOutput from a Standard Forward Optimize Operation

Parameters:

astrAssetID - The Array of the Assets in the Portfolio

adblExpectedAssetExcessReturns - Array of Expected Excess Returns

aadblAssetExcessReturnsCovariance - Excess Returns Co-variance Matrix

dblRiskAversion - The Risk Aversion Parameter

Returns:

The Instance of ForwardReverseOptimizationOutput from a Standard Forward Optimize Operation

Standard

public static final ForwardReverseOptimizationOutput Standard(Portfolio pfOptimal,
                                                              double dblRiskAversion,
                                                              double[][] aadblAssetExcessReturnsCovariance,
                                                              double[] adblExpectedAssetExcessReturns)

Construct a Standard Instance of ForwardReverseOptimizationOutput

Parameters:

pfOptimal - The Optimal Equilibrium Portfolio

dblRiskAversion - The Risk Aversion Parameter

aadblAssetExcessReturnsCovariance - Pair-wise Asset Excess Returns Co-variance Matrix

adblExpectedAssetExcessReturns - Array of Expected Excess Returns

Returns:

The Standard Instance of ForwardReverseOptimizationOutput

assetExcessReturnsCovariance

public double[][] assetExcessReturnsCovariance()

Retrieve the Excess Returns Co-variance Matrix between each Pair-wise Asset

Returns:

The Excess Returns Co-variance Matrix between each Pair-wise Asset

riskAversion

public double riskAversion()

Retrieve the Risk Aversion Coefficient

Returns:

The Risk Aversion Coefficient

expectedAssetExcessReturns

public double[] expectedAssetExcessReturns()

Retrieve the Array of Expected Excess Returns for each Asset

Returns:

The Array of Expected Excess Returns for each Asset

benchmarkMetrics

public PortfolioBenchmarkMetrics benchmarkMetrics(PortfolioMetrics pmBenchmark)

Compute the Portfolio Relative Metrics using the specified Benchmark

Parameters:

pmBenchmark - The Benchmark Metrics

Returns:

The Portfolio Relative Metrics using the specified Benchmark