org.drip.portfolioconstruction.allocator

Class MeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

Direct Known Subclasses:

ConstrainedMeanVarianceOptimizer, QuadraticMeanVarianceOptimizer

public abstract class MeanVarianceOptimizer
extends java.lang.Object

MeanVarianceOptimizer exposes Portfolio Construction using Mean Variance Optimization Techniques.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MeanVarianceOptimizer()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

MeanVarianceOptimizer

public MeanVarianceOptimizer()

Method Detail

longOnlyMaximumReturnsAllocate

public abstract OptimizationOutput longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters pcp,
                                                                  AssetUniverseStatisticalProperties ausp)

Allocate the Long-Only Maximum Returns Portfolio

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Long-Only Maximum Returns Portfolio

globalMinimumVarianceAllocate

public abstract OptimizationOutput globalMinimumVarianceAllocate(PortfolioConstructionParameters pcp,
                                                                 AssetUniverseStatisticalProperties ausp)

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

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Global Minimum Variance Portfolio

allocate

public abstract OptimizationOutput allocate(PortfolioConstructionParameters pcp,
                                            AssetUniverseStatisticalProperties ausp)

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio

efficientFrontier

public MarkovitzBullet efficientFrontier(PortfolioConstructionParameters pcp,
                                         AssetUniverseStatisticalProperties ausp,
                                         int iFrontierSampleUnits)

Generate the Efficient Frontier given the Portfolio Construction Parameters

Parameters:

pcp - The Portfolio Construction Parameters

ausp - The Asset Universe Statistical Properties Instance

iFrontierSampleUnits - The Number of Frontier Sample Units

Returns:

The Efficient Frontier